Condition-anchored VWAP (ta.anchored_vwap)

View Markdown

Explicit 0/1 anchors reset before including the current observation; values are invalid before the first anchor, missing source or volume is skipped, zero volume retains an existing positive-weight mean, and negative volume is rejected.

Indicator catalog · How to use indicators

Run this example

This complete script uses bundled data. It observes the selected output without placing trades.

import numpy as np
from openbacktesting import Backtest, Strategy
from openbacktesting.test import GOOG

data = GOOG.copy()
data["source"] = data.Close
data["anchor"] = (np.arange(len(data)) % 20 == 0).astype(float)

class Example(Strategy):
    def init(self):
        self.value = self.ta.anchored_vwap(inputs={'source': 'source', 'volume': 'Volume', 'anchor': 'anchor'})
        self.latest_value = None

    def next(self):
        channel = self.value
        if channel.valid[-1]:
            self.latest_value = float(channel[-1])

result = Backtest(data, Example).run()
print(result["_strategy"].latest_value)

Example inputs: source uses close prices; anchor marks every twentieth bar; replace it with actual period starts.

Call and parameters

self.ta.anchored_vwap(*, inputs=None, backend=None, required_outputs=None)

Register in init(). Read the returned channel in next() after checking valid[-1].

Parameter	Meaning	Type	Default	Allowed values
—	No formula parameters.	—	—	—

source/named source arguments accept a column name or same-run single-channel handle. Alternatively, inputs maps each input below to a column or handle. backend selects a supported implementation; required_outputs selects channels for readiness diagnostics. See shared arguments and handles.

Inputs and outputs

Required inputs: source, volume, anchor.

Channel	Meaning
vwap	Condition-anchored VWAP value

Reading values safely

Insufficient history or missing inputs can make a channel invalid. Check that channel's valid mask; ready is diagnostic and never suppresses next(). Multi-output results may have different valid channels on the same bar.

Supply a complete 0/1 anchor series. The example resets every 20 bars only to demonstrate binding; replace it with your intended periods. Exchange sessions are not inferred.

Indicator catalog · Custom calculations