Anchored VWAP [WavesUnchained]

//@version=6
// ============================================================================
// Anchored VWAP [WavesUnchained]
// Version: 1.0.4
// Author: WavesUnchained
// Build: 2026-10-12
// ============================================================================
// Volume-weighted average price anchored to a selectable origin (swing pivot,
// session / week / month / year, or a manual date) with volume-weighted σ bands.
// Stage-4 "fair value zone" location sensor for the reversal pipeline: it reports
// how stretched price is from value (distance in σ), it never fires a long/short
// trigger.
//
// Features:
//   ✓ Anchor at auto swing pivot, period start, or manual timestamp
//   ✓ Volume-weighted standard-deviation bands (two configurable multiples)
//   ✓ Distance-from-value in σ as a symmetric Location output
//   ✓ Stretched / band-touch context markers (no entries)
//   ✓ Anchor markers, light-theme dashboard, alerts
//
// Data Contract:
//   Price:     REQUIRED   chart symbol
//   Volume:    REQUIRED   real trade volume — feed must deliver volume and
//                         syminfo.volumetype must not be "tick"; otherwise not available
//   OI:        NO
//   Reference: NO
//   Verdict:   Exchange-only
//
// ============================================================================

indicator("Anchored VWAP [WavesUnchained]", "AVWAP", overlay=true, max_labels_count=500, max_lines_count=500)

// ─────────────────────────────────────────────────────────────────────────────
// INPUTS
// ─────────────────────────────────────────────────────────────────────────────

g_anchor = "1 · Anchor"
anchorMode = input.string("Auto: Last Swing", "Anchor on",
     options=["Auto: Last Swing", "Auto: Swing High", "Auto: Swing Low",
              "Session", "Week", "Month", "Year", "Manual Date"], group=g_anchor)
pivLeft    = input.int(5, "Swing Left Bars",  minval=1, group=g_anchor)
pivR       = input.int(5, "Swing Right Bars", minval=1, group=g_anchor,
     tooltip="Auto modes re-seed the VWAP from the actual pivot bar (pivR bars back), so value accrues from the real swing, not the confirmation bar.")
anchorTime = input.time(timestamp("01 Jan 2024 00:00 +0000"), "Manual Anchor", group=g_anchor)
srcSel     = input.source(hlc3, "Price Source", group=g_anchor)

g_bands = "2 · Bands"
showBands = input.bool(true, "Show σ Bands", group=g_bands)
mult1     = input.float(1.0, "Band 1 (σ)", minval=0.0, step=0.25, group=g_bands)
mult2     = input.float(2.0, "Band 2 (σ)", minval=0.0, step=0.25, group=g_bands)

g_loc = "3 · Location"
stretchSigma = input.float(2.0, "Stretched at (σ)", minval=0.5, step=0.25, group=g_loc,
     tooltip="|distance| ≥ this σ → flag a stretched location. Above value = potential short location, below = long location. Context only, not a trigger.")
showStretch  = input.bool(true, "Show stretched markers", group=g_loc)

g_disp = "4 · Display"
showAnchor = input.bool(true, "Show anchor markers", group=g_disp)
showTable  = input.bool(true, "Show dashboard", group=g_disp)
tablePos   = input.string("Top Right", "Dashboard position",
     options=["Top Right", "Top Left", "Bottom Right", "Bottom Left"], group=g_disp)

g_col = "5 · Colors"
colVwap = input.color(#ff6f00,            "VWAP",  group=g_col)
colUp   = input.color(#d50000,            "Above value", group=g_col)
colDn   = input.color(#00c853,            "Below value", group=g_col)

// ─────────────────────────────────────────────────────────────────────────────
// DATA VALIDITY
// ─────────────────────────────────────────────────────────────────────────────

// Echtes Handelsvolumen? Nur "tick" schließt aus; "n/a" zählt, wenn der Feed Volumen liefert (DATA_VALIDITY §2).
bool volumeIsReal = (ta.cum(nz(volume)) > 0 and syminfo.volumetype != "tick") and not na(volume)

float vol = volumeIsReal ? volume : na

// ─────────────────────────────────────────────────────────────────────────────
// ANCHOR EVENT
// ─────────────────────────────────────────────────────────────────────────────

float ph = ta.pivothigh(pivLeft, pivR)
float pl = ta.pivotlow(pivLeft, pivR)
bool isPivotMode = str.startswith(anchorMode, "Auto")

// All ta.* computed globally for a consistent series (v6 pitfall: no conditional ta.*)
bool chD = ta.change(time("D"))   != 0
bool chW = ta.change(time("W"))   != 0
bool chM = ta.change(time("M"))   != 0
bool chY = ta.change(time("12M")) != 0

bool evt = false
if anchorMode == "Auto: Last Swing"
    evt := not na(ph) or not na(pl)
else if anchorMode == "Auto: Swing High"
    evt := not na(ph)
else if anchorMode == "Auto: Swing Low"
    evt := not na(pl)
else if anchorMode == "Session"
    evt := chD
else if anchorMode == "Week"
    evt := chW
else if anchorMode == "Month"
    evt := chM
else if anchorMode == "Year"
    evt := chY
else
    evt := time >= anchorTime and time[1] < anchorTime

bool active = anchorMode != "Manual Date" or time >= anchorTime

// ─────────────────────────────────────────────────────────────────────────────
// VWAP ACCUMULATION  (running sums, reset on anchor event)
// ─────────────────────────────────────────────────────────────────────────────

var float sumPV  = na
var float sumV   = na
var float sumPV2 = na

float src = srcSel

if active
    if evt or na(sumV)
        sumPV  := 0.0
        sumV   := 0.0
        sumPV2 := 0.0
        if isPivotMode
            for i = pivR to 0
                float p = nz(src[i])
                float v = nz(vol[i])
                sumPV  := sumPV + p * v
                sumV   := sumV + v
                sumPV2 := sumPV2 + p * p * v
        else
            sumPV  := src * vol
            sumV   := vol
            sumPV2 := src * src * vol
    else
        sumPV  := sumPV + src * vol
        sumV   := sumV + vol
        sumPV2 := sumPV2 + src * src * vol

float vwap     = sumV > 0.0 ? sumPV / sumV : na
float variance = sumV > 0.0 ? math.max(0.0, sumPV2 / sumV - vwap * vwap) : na
float sd       = math.sqrt(variance)

float up1 = vwap + mult1 * sd
float dn1 = vwap - mult1 * sd
float up2 = vwap + mult2 * sd
float dn2 = vwap - mult2 * sd

// ─────────────────────────────────────────────────────────────────────────────
// LOCATION OUTPUT  (distance from value in σ — symmetric, never a trigger)
// ─────────────────────────────────────────────────────────────────────────────

float distSigma = sd > 0.0 ? (close - vwap) / sd : na
bool stretchedUp = active and not na(distSigma) and distSigma >=  stretchSigma   // potential short location
bool stretchedDn = active and not na(distSigma) and distSigma <= -stretchSigma   // potential long location

// ─────────────────────────────────────────────────────────────────────────────
// PLOTS
// ─────────────────────────────────────────────────────────────────────────────

plot(active ? vwap : na, "AVWAP", color=colVwap, linewidth=2)

pUp2 = plot(active and showBands ? up2 : na, "Upper 2σ", color=color.new(colUp, 60))
pUp1 = plot(active and showBands ? up1 : na, "Upper 1σ", color=color.new(colUp, 75))
pDn1 = plot(active and showBands ? dn1 : na, "Lower 1σ", color=color.new(colDn, 75))
pDn2 = plot(active and showBands ? dn2 : na, "Lower 2σ", color=color.new(colDn, 60))

fill(pUp1, pUp2, color=showBands ? color.new(colUp, 92) : na, title="Upper Band Fill")
fill(pDn1, pDn2, color=showBands ? color.new(colDn, 92) : na, title="Lower Band Fill")

// ─────────────────────────────────────────────────────────────────────────────
// CONTEXT MARKERS  (Location flags — not entries, see design skill §1/§9)
// ─────────────────────────────────────────────────────────────────────────────

plotshape(showAnchor and evt and active and volumeIsReal, "Anchor",
     style=shape.flag, location=location.belowbar, color=color.new(colVwap, 20), size=size.tiny)

plotshape(showStretch and stretchedUp, "Stretched ↑ (short location)",
     style=shape.triangledown, location=location.abovebar, color=color.new(colUp, 25), size=size.tiny)
plotshape(showStretch and stretchedDn, "Stretched ↓ (long location)",
     style=shape.triangleup, location=location.belowbar, color=color.new(colDn, 25), size=size.tiny)

// ─────────────────────────────────────────────────────────────────────────────
// DASHBOARD
// ─────────────────────────────────────────────────────────────────────────────

f_pos(string p) =>
    switch p
        "Top Left"     => position.top_left
        "Bottom Right" => position.bottom_right
        "Bottom Left"  => position.bottom_left
        =>                position.top_right

var table t = table.new(f_pos(tablePos), 2, 5,
     bgcolor=color.new(color.white, 5),
     border_color=color.new(color.gray, 60),
     border_width=1,
     frame_color=color.new(color.gray, 40),
     frame_width=1)

color tc = color.new(color.gray, 20)
color hd = color.new(color.gray, 90)

if showTable and barstate.islast
    table.cell(t, 0, 0, "ANCHORED VWAP", text_color=tc, bgcolor=hd, text_size=size.small)
    table.cell(t, 1, 0, anchorMode, text_color=tc, bgcolor=hd, text_size=size.small)

    table.cell(t, 0, 1, "AVWAP", text_color=tc, text_size=size.small)
    table.cell(t, 1, 1, na(vwap) ? "—" : str.tostring(vwap, format.mintick), text_color=tc, text_size=size.small)

    table.cell(t, 0, 2, "σ", text_color=tc, text_size=size.small)
    table.cell(t, 1, 2, na(sd) ? "—" : str.tostring(sd, format.mintick), text_color=tc, text_size=size.small)

    table.cell(t, 0, 3, "Distance (σ)", text_color=tc, text_size=size.small)
    color dcol = na(distSigma) ? tc : (distSigma >= 0 ? colUp : colDn)
    table.cell(t, 1, 3, na(distSigma) ? "—" : str.tostring(distSigma, "#.00"), text_color=dcol, text_size=size.small)

    table.cell(t, 0, 4, "Location", text_color=tc, text_size=size.small)
    string locTxt = stretchedUp ? "Stretched ↑" : stretchedDn ? "Stretched ↓" : "Near value"
    color  locCol = stretchedUp ? colUp : stretchedDn ? colDn : tc
    table.cell(t, 1, 4, locTxt, text_color=locCol, text_size=size.small)

// ─────────────────────────────────────────────────────────────────────────────
// DATA VALIDITY WARNING
// ─────────────────────────────────────────────────────────────────────────────

// Kurzer Hinweis unten rechts; was fehlt, steht im Data Contract oben.
var table volWarn = table.new(position.bottom_right, 1, 1)
if barstate.islast and not volumeIsReal
    table.cell(volWarn, 0, 0, "AVWAP · not available",
         bgcolor = color.new(color.orange, 20), text_color = color.white, text_size = size.small)

// ─────────────────────────────────────────────────────────────────────────────
// ALERTS  (location context, not entries)
// ─────────────────────────────────────────────────────────────────────────────

bool alertsOnBarClose = input.bool(true, "Alerts only on bar close (confirmed)", group="Alerts")
bool alertOk = not alertsOnBarClose or barstate.isconfirmed

alertcondition(alertOk and (stretchedUp and not stretchedUp[1]), "Stretched Above Value",
     "AVWAP · STRETCHED ABOVE VALUE · {{ticker}} {{interval}}")
alertcondition(alertOk and (stretchedDn and not stretchedDn[1]), "Stretched Below Value",
     "AVWAP · STRETCHED BELOW VALUE · {{ticker}} {{interval}}")
alertcondition(alertOk and (ta.cross(close, vwap)), "Price Crossed AVWAP",
     "AVWAP · VWAP CROSS · {{ticker}} {{interval}}")