Algorithmic Trading & Indicators
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Calculate Anchored VWAP (AVWAP) from Any Event Date or Swing Low in Python
Compute Anchored Volume Weighted Average Price (AVWAP) starting from any earnings date, IPO day, or major swing low in Python Pandas.
#pandas#numpy
Problem Statement
Institutional algorithms defend their average cost basis starting from major catalyst dates (Budget day, Earnings breakout, 52-week low). Standard intraday VWAP cannot track multi-week anchored cost basis.
Formula / Core Logic
Slices DataFrame for Date >= Anchor_Date and computes Cumulative(Typical_Price * Volume) / Cumulative(Volume).
Installation
pip install pandas numpy
anchored-vwap-event-swing-high-low-python.py
import pandas as pd
import numpy as np
def calculate_anchored_vwap(df, anchor_date='2026-01-01'):
df = df.copy()
tp = (df['High'] + df['Low'] + df['Close']) / 3.0
tpv = tp * df['Volume']
mask = df.index >= pd.to_datetime(anchor_date)
df['AVWAP'] = np.nan
df.loc[mask, 'AVWAP'] = tpv[mask].cumsum() / df.loc[mask, 'Volume'].cumsum()
return df
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Buy Full Bundle on Gumroad ($19) →Frequently Asked Questions
Q: How do I automatically anchor VWAP to the lowest low of the last 100 bars?
Pass `anchor_date = df['Low'].tail(100).idxmin()` into the function.