/**
* Anchored VWAP (Volume Weighted Average Price) Indicator
* VWAP calculated from a specific anchor point instead of session start
*/
/**
* Calculate Anchored VWAP
* @param highs Array of high prices
* @param lows Array of low prices
* @param closes Array of close prices
* @param volumes Array of volume data
* @param anchorIndex Index to anchor VWAP from (0 = start of data)
* @param standardDeviations Number of SD for bands (default 1)
* @returns AnchoredVWAPData object
*/
export function calculateAnchoredVWAP(highs, lows, closes, volumes, anchorIndex = 0, standardDeviations = 1) {
if (highs.length !== lows.length || highs.length !== closes.length || highs.length !== volumes.length) {
return null;
}
if (anchorIndex >= highs.length || anchorIndex < 0) {
return null;
}
// Use data from anchor point onwards
const anchoredHighs = highs.slice(anchorIndex);
const anchoredLows = lows.slice(anchorIndex);
const anchoredCloses = closes.slice(anchorIndex);
const anchoredVolumes = volumes.slice(anchorIndex);
// Minimum 1 data point after anchor
if (anchoredHighs.length < 1) {
return null;
}
// Calculate VWAP from anchor point
let priceVolumeSum = 0;
let volumeSum = 0;
for (let i = 0; i < anchoredCloses.length; i++) {
// Use typical price (H+L+C)/3 for VWAP calculation
const typicalPrice = (anchoredHighs[i] + anchoredLows[i] + anchoredCloses[i]) / 3;
priceVolumeSum += typicalPrice * anchoredVolumes[i];
volumeSum += anchoredVolumes[i];
}
const anchoredVWAP = volumeSum > 0 ? priceVolumeSum / volumeSum : 0;
// Get anchor price
const anchorPrice = closes[anchorIndex];
// Current price vs VWAP
const currentPrice = closes[closes.length - 1];
const priceVsVWAP = anchoredVWAP > 0 ? ((currentPrice - anchoredVWAP) / anchoredVWAP) * 100 : 0;
let position = 'equal';
if (currentPrice > anchoredVWAP * 1.0001) {
position = 'above';
}
else if (currentPrice < anchoredVWAP * 0.9999) {
position = 'below';
}
// Determine trend
let trend = 'neutral';
if (position === 'above') {
trend = 'bullish';
}
else if (position === 'below') {
trend = 'bearish';
}
// Calculate standard deviation for bands
const deviations = [];
for (let i = 0; i < anchoredCloses.length; i++) {
const typicalPrice = (anchoredHighs[i] + anchoredLows[i] + anchoredCloses[i]) / 3;
deviations.push(typicalPrice - anchoredVWAP);
}
const meanDeviation = deviations.reduce((sum, dev) => sum + dev, 0) / deviations.length;
const variance = deviations.reduce((sum, dev) => sum + Math.pow(dev - meanDeviation, 2), 0) / deviations.length;
const stdDev = Math.sqrt(variance);
const upperBand = anchoredVWAP + (stdDev * standardDeviations);
const lowerBand = anchoredVWAP - (stdDev * standardDeviations);
// Determine band position
let bandPosition;
if (currentPrice > upperBand) {
bandPosition = 'above_upper';
}
else if (currentPrice < lowerBand) {
bandPosition = 'below_lower';
}
else if (Math.abs(currentPrice - anchoredVWAP) / anchoredVWAP < 0.001) {
bandPosition = 'at_vwap';
}
else {
bandPosition = 'between_bands';
}
// Calculate signal strength based on distance from VWAP
const strength = Math.min(100, Math.abs(priceVsVWAP) * 2);
// Generate trading signal
let signal = 'neutral';
if (bandPosition === 'below_lower' && trend === 'bullish') {
signal = 'buy'; // Rejection of lower band in uptrend
}
else if (bandPosition === 'above_upper' && trend === 'bearish') {
signal = 'sell'; // Rejection of upper band in downtrend
}
else if (position === 'above' && Math.abs(priceVsVWAP) > 0.5) {
signal = 'buy'; // Sustained above VWAP
}
else if (position === 'below' && Math.abs(priceVsVWAP) > 0.5) {
signal = 'sell'; // Sustained below VWAP
}
// Determine institutional bias
let institutionalBias = 'neutral';
if (currentPrice > anchoredVWAP && volumeSum > anchoredVolumes[anchoredVolumes.length - 1] * 10) {
institutionalBias = 'bullish'; // Strong volume above VWAP
}
else if (currentPrice < anchoredVWAP && volumeSum > anchoredVolumes[anchoredVolumes.length - 1] * 10) {
institutionalBias = 'bearish'; // Strong volume below VWAP
}
return {
anchoredVWAP,
anchorPrice,
anchorIndex,
priceVsVWAP,
position,
trend,
upperBand,
lowerBand,
bandPosition,
strength,
signal,
institutionalBias
};
}
/**
* Find optimal anchor points based on significant price levels
* @param highs Array of high prices
* @param lows Array of low prices
* @param closes Array of close prices
* @returns Array of potential anchor indices
*/
export function findAnchorPoints(highs, lows, closes) {
const anchors = [];
// Find swing highs and lows as potential anchors
for (let i = 2; i < highs.length - 2; i++) {
// Swing high: higher than previous 2 and next 2 periods
if (highs[i] > highs[i - 1] && highs[i] > highs[i - 2] &&
highs[i] > highs[i + 1] && highs[i] > highs[i + 2]) {
anchors.push(i);
}
// Swing low: lower than previous 2 and next 2 periods
if (lows[i] < lows[i - 1] && lows[i] < lows[i - 2] &&
lows[i] < lows[i + 1] && lows[i] < lows[i + 2]) {
anchors.push(i);
}
}
// Remove duplicates and sort
return [...new Set(anchors)].sort((a, b) => a - b);
}
/**
* Calculate multiple anchored VWAPs from different anchor points
* @param highs Array of high prices
* @param lows Array of low prices
* @param closes Array of close prices
* @param volumes Array of volume data
* @param anchorIndices Array of anchor indices
* @returns Array of AnchoredVWAPData objects
*/
export function calculateMultipleAnchoredVWAP(highs, lows, closes, volumes, anchorIndices) {
return anchorIndices
.map(anchorIndex => calculateAnchoredVWAP(highs, lows, closes, volumes, anchorIndex))
.filter((vwap) => vwap !== null);
}
/**
* Get Anchored VWAP interpretation
* @param vwap AnchoredVWAPData object
* @returns Human-readable interpretation
*/
export function getAnchoredVWAPInterpretation(vwap) {
const { anchoredVWAP, position, bandPosition, institutionalBias, signal } = vwap;
let interpretation = `Anchored VWAP: ${anchoredVWAP.toFixed(4)}`;
if (bandPosition === 'above_upper') {
interpretation += ' - Above upper band';
}
else if (bandPosition === 'below_lower') {
interpretation += ' - Below lower band';
}
else if (bandPosition === 'at_vwap') {
interpretation += ' - At VWAP level';
}
else {
interpretation += ` - ${position} VWAP`;
}
if (institutionalBias !== 'neutral') {
interpretation += ` (${institutionalBias} institutional bias)`;
}
if (signal !== 'neutral') {
interpretation += ` - ${signal.toUpperCase()} signal`;
}
return interpretation;
}
/**
* Analyze VWAP trend strength
* @param vwap AnchoredVWAPData object
* @returns Trend strength analysis
*/
export function analyzeVWAPTrendStrength(vwap) {
const { strength, institutionalBias, bandPosition } = vwap;
let trendStrength = strength;
let institutionalConfidence = 0;
let recommendation = 'Monitor price action around VWAP';
// Adjust strength based on band position
if (bandPosition === 'above_upper' || bandPosition === 'below_lower') {
trendStrength += 20; // Extreme positions add strength
}
// Institutional confidence based on bias
if (institutionalBias === 'bullish') {
institutionalConfidence = 80;
recommendation = 'Strong institutional buying - bullish bias';
}
else if (institutionalBias === 'bearish') {
institutionalConfidence = 80;
recommendation = 'Strong institutional selling - bearish bias';
}
else {
institutionalConfidence = 50;
}
return { trendStrength, institutionalConfidence, recommendation };
}
