Anchored VWAP Risk Ladder [AGPro Series]Anchored VWAP Risk Ladder
🧠 Core Idea
After an important market event, is price trading close to fair value or becoming extended relative to the anchored VWAP?
📌 Overview / What it does
Anchored VWAP Risk Ladder builds a volume-weighted average price from a selected anchor event and turns the distance from that anchor into a structured risk ladder.
The script displays anchored VWAP, volume-weighted deviation bands, right-side ladder tags, reclaim and lose labels, extension context, and a compact AG Pro panel with distance, score, risk ladder, and action state.
It does not predict price direction, automate trades, or claim that anchored VWAP will hold as support or resistance. It organizes event-based volume-weighted context into a readable chart framework.
🎯 Purpose & Design Philosophy
Anchored VWAP is often useful after a meaningful event, but raw AVWAP alone can be difficult to interpret without context.
This script was built to answer a practical question: how far is price from the anchored value area, and is that distance becoming useful, balanced, or risky?
The design supports traders who think in terms of anchored fair value, risk distance, reclaim behavior, and extension zones.
⚡ Why This Script Is Different
Most VWAP tools show a line and leave interpretation fully manual.
This script does NOT stop at plotting anchored VWAP.
Instead, it builds a complete risk ladder around the anchor, adds deviation context, scores reclaim or lose behavior, and summarizes the current state in a clean dashboard.
⚙️ Methodology
1. Anchor Detection
The script can anchor from manual time, high-volume events, swing pivots, session open, week open, or month open.
2. AVWAP Calculation
From the active anchor, the script accumulates volume-weighted price and volume-weighted variance to calculate anchored VWAP and deviation bands.
3. Risk Ladder Mapping
Distance from anchored VWAP is measured in ATR and deviation terms to classify whether price is near value, inside Band 1, inside Band 2, or extended.
4. Visual Output
The script plots AVWAP, upper/lower deviation bands, ladder fills, event labels, right-side tags, bar state color, and a dashboard.
🗺️ How to Read the Chart
The AVWAP rail represents the volume-weighted average price from the active anchor.
Deviation bands represent the ladder around anchored value.
Labels mark anchor events, AVWAP reclaim events, AVWAP lose events, and optional extension-risk conditions.
The panel shows:
• Anchor → current anchor type and age
• Distance → price distance from AVWAP in ATR
• Risk Ladder → current ladder zone and risk score
• Score → current context score and direction state
• Action → READY / MONITOR / WAIT / BLOCKED
🚦 Signals & States
• Anchor Locked → a new event anchor has been selected
• Ready Reclaim → price has reclaimed anchored VWAP with enough context score
• Ready Lose → price has lost anchored VWAP with enough context score
• Near AVWAP → price is close to anchored value
• Band 1 / Band 2 → price is moving away from anchored value
• Extended → distance from AVWAP is elevated
🔔 Alerts Logic
Alerts can trigger when a new anchor is locked, when price reclaims AVWAP, when price loses AVWAP, or when extension-risk conditions appear.
Alerts are attention markers only. They do not represent trade instructions or guaranteed outcomes.
🧩 Confluence Logic
The context becomes stronger when anchored VWAP reclaim or lose behavior aligns with relative volume, acceptable distance, and a clear ladder state.
The risk ladder helps separate balanced conditions from extension conditions.
📊 When to Use
• After high-volume market events
• Around earnings, news, breakout, or liquidation-style candles
• During trend continuation pullbacks
• When studying institutional average price context
• On liquid symbols with meaningful volume data
⚠️ When NOT to Use
• Very low-liquidity symbols
• Markets with unreliable or synthetic volume
• Extremely choppy conditions where anchors reset too often
• Situations where the selected anchor is not meaningful
• When using AVWAP as a standalone trading signal
🎛️ Key Inputs
• Anchor Mode → controls how AVWAP is anchored
• Manual Anchor Time → user-defined anchor timestamp
• High Volume Anchor Threshold → controls automatic high-volume anchors
• Deviation Band 1 / 2 → controls ladder width
• Extension Risk ATR → controls when distance becomes elevated
• Minimum Ready Score → controls reclaim or lose strictness
• Visual Settings → control bands, labels, tags, panel, and bar colors
🖥️ Interface & Visual Design
The interface is built for fast visual hierarchy.
AVWAP is the central reference, deviation bands define the risk ladder, right-side tags make the ladder readable, and the panel summarizes state without forcing the user to inspect every line manually.
🧪 Practical Usage Workflow
1. Choose the anchor mode
2. Read the active anchor and distance in the panel
3. Check whether price is near AVWAP or extended
4. Watch reclaim or lose labels around AVWAP
5. Use broader structure and risk context before making any decision
🔍 Interpretation Guidelines
Price near AVWAP often represents a balanced value area relative to the anchor.
Price far from AVWAP may represent stronger trend behavior, but it may also carry extension risk.
READY states mark meaningful reclaim or lose behavior, not certainty.
🚫 What This Script Is NOT
This script is not a prediction engine.
It is not an automated trading system.
It does not guarantee support, resistance, continuation, reversal, or profit.
It is not financial advice.
⚠️ Limitations & Transparency
Anchored VWAP quality depends heavily on anchor selection.
Different timeframes may produce different anchor timing and visual structure.
Volume data quality may vary between symbols, brokers, and exchanges.
Deviation bands are statistical references, not fixed market boundaries.
🧠 Market Context Notes
Anchored VWAP works best when the anchor represents a meaningful market event.
High-volume displacement, swing pivots, session opens, weekly opens, and monthly opens may each tell a different story.
The user should choose the anchor mode that best fits the market question.
🧾 Use Case Examples
When a high-volume candle creates a new anchor, the script tracks whether price remains near the anchored value area or begins to extend away from it.
When price reclaims AVWAP with enough score, the script marks a READY reclaim context.
When price loses AVWAP with enough score, the script marks a READY lose context.
🧱 System Philosophy
AGPro Series tools are built as decision-support engines.
The purpose is to structure market context into readable zones, states, scores, and risk references without turning analysis into blind signal-following.
🔐 Non-Promise Statement
No script can provide certainty.
No AVWAP level guarantees a reaction.
No signal guarantees continuation, reversal, or profit.
📉 Risk Disclosure
Trading involves risk.
Users are responsible for their own analysis, decisions, risk management, and execution.
This script is for educational and analytical purposes only and does not provide financial advice.
📚 Educational Note
Use this tool to study how anchored value, volume-weighted distance, deviation bands, reclaim behavior, and extension risk interact across different market conditions.
Indicator
Indicator
Session Anchored OIWAP [Arjo]The Session Anchored OIWAP (Open Interest Weighted Average Price) indicator shows you a weighted average price that uses Open Interest (OI) changes during different trading sessions . It divides the day into four clear sessions: Opening Hour , Morning Session , Mid-Day Session , and Closing Session .
For each session , it calculates a weighted average price using both market price and open interest data from futures . This line updates as the session progresses and resets when a new session starts .
You can also see optional deviation bands that you visually compare to how far the market price is moving away from the session’s weighted average. This indicator also helps you watch how Open Interest changes connect with price movements during specific market hours.
Concepts
This tool works on a few simple ideas:
Session anchoring
Each session starts fresh. The indicator resets and begins a new calculation when a new time block begins. This allows users to visually study each session independently.
Open-interest weighting
Instead of treating all price moves equally, price changes linked to higher open-interest activity have more influence on the OIWAP. This gives a weighted reflection of where the market has been trading during the session.
Averaging and smoothing
The OIWAP line blends many price data points into one smooth curve, making it easier to follow than raw price movement.
Volatility display with bands
The upper and lower bands are placed at ±0.5 standard deviation from the OIWAP line. These bands simply help you see when price stretches further away than usual from the session average.
Features
Four Independent Session Calculations: Shows separate OIWAP lines for Opening Hour (default: 09:15-10:15), Morning (10:15-11:30), Mid-Day (11:30-14:00), and Closing (14:00-15:30) sessions
Open Interest Weighting: Uses absolute OI change as the weight instead of traditional volume
Customizable Session Times: You can change the time ranges for each session to match your market or what you need
Optional Deviation Bands: You can turn ±0.5 standard deviation bands on or off around each OIWAP line
Color-Coded Sessions: Each session has its own color so you can tell them apart easily
Selective Display: You can turn individual sessions and bands on or off
Data Availability Check: Shows you a notification when Open Interest data isn't available for your symbol
Adjustable Position Timeframe: You can calculate OI changes on different timeframes (Chart, Daily, 15min, 30min, 60min, 120min)
How to use
Add this indicator to a chart of any symbol that has Open Interest data ( from futures or derivatives contracts). Once you add it, you'll see colored lines showing the OIWAP for each session you enable, along with optional deviation bands.
Adjusting Settings:
Turn individual sessions on or off using the checkboxes in the " Sessions " section
Change session colors to match your chart or what looks good to you
Turn deviation bands on or off using the " Show Bands " option in the Display settings
Change session time ranges in the " Session Times " section to match your market hours or what you want to analyze
Change the Position Timeframe if you want to see OI changes calculated on a different time period
Visual Interpretation:
Each OIWAP line shows you the OI-weighted average price for that session
The deviation bands show you how much prices spread out, weighted by OI changes
You can watch how price interacts with these levels to see where significant OI activity happened
Different sessions may show different OIWAP levels, showing you how the OI-price relationship changes throughout the trading day
Note:
This indicator needs Open Interest data to work. If OI data isn't available for your symbol, you'll see a message in the center of your chart. This indicator works only with derivatives markets like futures and options in the Indian Market where OI data is publicly available.
Conclusion
The Session Anchored OIWAP indicator is designed to support structured market observation by combining price, open interest, and session anchoring into a clear visual format. It helps users study market behavior during different parts of the day without generating trading instructions or outcomes.
Disclaimer
This indicator is for educational and visual-analysis purposes only. It does not provide trading signals , financial advice, or guaranteed outcomes . You should perform your own research and consult a licensed financial professional when needed. All trading decisions are solely the responsibility of the user.
Happy Trading
Indicator
Weighted Average Strength Index (WASI)Weighted Average Strength Index (WASI)
The Weighted Average Strength Index (WASI) is a variation of the standard RSI. It uses the Weighted Moving Average (WMA) instead of the Running Moving Average (RMA), making it more responsive to recent price changes. The hypothesis is that this weighted calculation might better capture momentum shifts, providing traders with more timely insights.
How to Use:
Backtest WASI on your preferred assets and timeframes to evaluate its effectiveness for your strategy.
Use for trend following or mean reversion :
- Overbought/Oversold (OB/OS) levels can signal potential mean-reversion opportunities.
- Midline (50 level) crossovers can be used for trend-following strategies.
- WASI and its moving average (MA) crossovers offer additional trend-following or reversal signals.
Parameters and Their Functions:
WASI Length: Determines the number of periods for WASI calculation. A longer length smooths the indicator but increases lag, while a shorter length makes it more sensitive. (When in doubt, go longer).
Source: The price source for the calculation (e.g., close, open, high, or low).
MA Type: Specifies the type of moving average applied to the WASI (options include SMA, EMA, WMA, HMA, and others).
MA Length: The number of periods for the moving average used on the WASI. Higher will lead to a smoother moving average.
Indicator Features:
Dynamic OB/OS Levels: Default overbought (70) and oversold (30) levels help identify potential reversal zones.
Midline Crossover: WASI crossing above or below the 50 level may indicate a trend shift.
WASI-MA Crossover: Crossovers between WASI and its moving average can signal trend-following or mean-reversion opportunities.
Disclaimer:
This indicator is a tool for analysis and should be used in conjunction with other forms of analysis or confirmation. Past performance does not guarantee future results.
Indicator
Indicator
Dynamic Sentiment RSI [UAlgo]The Dynamic Sentiment RSI is a technical analysis tool that combines the classic RSI (Relative Strength Index) concept with dynamic sentiment analysis, offering traders enhanced insights into market conditions. Unlike the traditional RSI, this indicator integrates volume weighting, sentiment factors, and smoothing features to provide a more nuanced view of momentum and potential market reversals. It is designed to assist traders in detecting overbought/oversold conditions, momentum shifts, and to generate potential buy or sell signals using crossover and crossunder techniques. By dynamically adjusting based on sentiment and volume factors, this RSI offers better adaptability to varying market conditions, making it suitable for different trading styles and timeframes.
This tool is particularly helpful for traders who wish to explore not only price movement but also the underlying market sentiment, offering a more comprehensive approach to momentum analysis. The sentiment factor amplifies the RSI's sensitivity to price shifts, making it easier to detect early signals of market reversals or the continuation of a trend.
🔶 Key Features
Dynamic Sentiment Calculation: The indicator incorporates a "Sentiment Factor" that adjusts the RSI length dynamically based on a multiplier, helping traders better understand market sentiment at different time intervals.
Volume Weighting: When enabled, the RSI calculations are weighted by volume, allowing traders to give more importance to price movements with higher trading volume, which may provide more accurate signals.
Smoothing Feature: A customizable smoothing period is applied to the RSI to help filter out noise and make the signal smoother. This feature is particularly useful for traders who prefer to focus on long-term trends while minimizing false signals.
Step Size Customization: A "Step Size" input allows users to round the sentiment RSI to predefined intervals, making the results easier to interpret and act upon. This feature allows you to focus on significant sentiment changes and ignore minor fluctuations.
Crossover/Crossunder Alerts: The indicator includes crossover and crossunder signals on the zero-line, helping traders identify potential buy and sell opportunities as the smoothed RSI crosses these levels.
The indicator offers a clear visual display with multiple color-coded lines and areas:
Sentiment RSI: Plotted as an area chart, color-coded based on sentiment strength.
Raw RSI: A purple line representing the raw adjusted RSI.
Smoothed RSI: A dynamic line, color-coded aqua or orange based on its position relative to the zero line.
Buy/Sell Signals: Triangle shapes are plotted at crossovers and crossunders, providing clear entry and exit points.
🔶 Interpreting the Indicator
Sentiment RSI
-This line represents the sentiment-adjusted RSI, where the higher the value, the stronger the bullish sentiment, and the lower the value, the stronger the bearish sentiment. It is rounded to step intervals, making it easier to detect significant shifts in sentiment.
- A positive sentiment RSI (above 0) suggests bullish market conditions, while a negative sentiment RSI (below 0) suggests bearish conditions.
Smoothed RSI
The smoothed RSI helps reduce noise and shows the trend more clearly.
Crossovers of the zero line are significant:
- Crossover above zero: Indicates that bullish momentum is building, potentially signaling a buying opportunity.
- Crossunder below zero: Signals a shift towards bearish momentum, potentially indicating a sell signal.
Traders should look for these crossovers in conjunction with other signals for more accurate entry/exit points.
Raw RSI (Adjusted)
The raw adjusted RSI offers a less smoothed, more responsive version of the RSI. While it may be noisier, it provides early signals of market reversals and trends.
Crossover/Crossunder Signals
- When the smoothed RSI crosses above the zero line, a "Signal Up" triangle appears, indicating a potential buying opportunity.
- When the smoothed RSI crosses below the zero line, a "Signal Down" triangle appears, signaling a potential sell opportunity.
These signals help traders time their entries and exits by identifying momentum shifts.
Volume Weighting (Optional)
- If volume weighting is enabled, the RSI will give more weight to periods of higher trading volume, making the signals more reliable when the market is highly active.
Strong Up/Down Levels (40/-40)
- These dotted lines represent extreme sentiment levels. When the sentiment RSI reaches 40 or -40, the market may be nearing an overbought or oversold condition, respectively. This could be a signal for traders to prepare for potential reversals or shifts in momentum.
By combining the various components of this indicator, traders can gain a comprehensive view of market sentiment and price action, helping them make more informed trading decisions. The combination of sentiment factors, volume weighting, and smoothing makes this indicator highly flexible and suitable for a variety of trading strategies.
🔶 Disclaimer
Use with Caution: This indicator is provided for educational and informational purposes only and should not be considered as financial advice. Users should exercise caution and perform their own analysis before making trading decisions based on the indicator's signals.
Not Financial Advice: The information provided by this indicator does not constitute financial advice, and the creator (UAlgo) shall not be held responsible for any trading losses incurred as a result of using this indicator.
Backtesting Recommended: Traders are encouraged to backtest the indicator thoroughly on historical data before using it in live trading to assess its performance and suitability for their trading strategies.
Risk Management: Trading involves inherent risks, and users should implement proper risk management strategies, including but not limited to stop-loss orders and position sizing, to mitigate potential losses.
No Guarantees: The accuracy and reliability of the indicator's signals cannot be guaranteed, as they are based on historical price data and past performance may not be indicative of future results.
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