VWAP Slices

VWAP Slices is a time-based analytical tool that helps traders evaluate market behavior across custom-defined periods. Instead of looking at VWAP, RSI, or MFI in isolation, this script allows users to select up to three specific time windows — for example, earnings weeks, Fed meetings, or major news cycles — and analyze how price interacted with volume, momentum, and money flow within each of those slices.

For each active period, the script calculates:

• VWAP, based on HLC3 × Volume, giving a volume-weighted price anchor
  
• Total traded volume
  
• Number of bars (candles) in the period
  
• RSI, computed using a custom-built relative strength algorithm from closing prices
  
• MFI, calculated from HLC3 and volume to assess money flow direction and strength
  

These statistics are not simply shown independently — they are designed to be viewed in context with each other. For instance:

VWAP levels help identify fair value and possible accumulation/distribution zones within a time range.

RSI shows internal momentum strength, while MFI adds a volume-sensitive confirmation.

Comparing multiple periods side-by-side allows traders to see shifts in trend behavior and volume dynamics over time.

The script offers two visualization styles:

• Labels placed on-chart near price, summarizing each period
  
• A combined table showing all periods together for comparative analysis
  

Users can define:

• Start and end dates of each period
  
• Background color and visibility per period
  
• Whether to display labels, a summary table, or both
  

It also computes aggregate metrics, including:

• A volume-weighted combined VWAP across all selected periods
  
• Average RSI and MFI, giving a broader sense of directional bias and money flow health
  

This tool is especially useful for:

• Assessing how price and volume behaved around specific market events
  
• Comparing accumulation vs distribution across different timeframes
  
• Supporting thesis-driven trading by segmenting history into actionable chunks
  

This is not a mashup, but a purposeful framework for slicing market history into analytical blocks — combining price anchors with volume and momentum indicators to help traders better interpret price structure and trend context.