FoundryFutures - Multi-Timeframe Vwap and Prior Value

Multi-Timeframe VWAP with Previous Session Volume Profile Value Areas
Overview
This indicator combines Volume Weighted Average Price (VWAP) analysis with previous session’s Volume Profile Value Areas, helping traders identify key institutional price levels and important market structure zones. It shows both the current period VWAP and the prior period’s value area levels, creating a robust framework for recognizing potential support and resistance.

🔑 Key Features
1. Multi-Timeframe VWAP
Calculates real-time VWAP for the current period across multiple timeframes: Hourly, 4-Hour, Daily, 2-Day, 3-Day, Weekly, Monthly, Quarterly, and Yearly.

Dynamic color-coding based on VWAP slope to visualize trend direction.

Displays the previous period’s closing VWAP as a static reference.

2. Standard Deviation Bands
Includes up to three customizable deviation levels for current VWAP.

Plots both current period bands and previous period’s closing deviation levels.

Optional fill between bands for enhanced visual context.

Upper band extensions available for deeper analysis.

3. Previous Session Volume Profile Value Areas
Plots previous session’s value areas on the current chart.

Includes Previous Value Area High (VAH), Value Area Low (VAL), and Point of Control (POC) — representing where the most volume traded.

Historical levels often act as key support or resistance in the current period.

Adjustable value area percentage (default is 70%).

4. Visual Enhancements
Color-coded fills show when price is above/below previous value areas.

Imbalance zones highlighted between current price and historical levels.

Flexible line styles, colors, and transparency options.

Optional labels with clear prefixes (e.g., PD- for Prior Day, PW- for Prior Week).

5. Alert Functionality
All previous session levels are available in the alerts menu.

Set alerts for price approaching or crossing prior value areas.

Monitor interactions with previous session POC or value edges.

📌 Use Cases
Gap Analysis: Spot overnight or weekend gaps relative to prior value areas. Watch for acceptance or rejection back into prior value zones.

Opening Range Trading: Assess strength/weakness at open vs. previous session’s levels. Trade breakouts or fades around previous VAH/VAL.

Continuation vs. Reversal: Holding above previous VAH suggests continuation; failure at VAL can imply reversal risk. POC often acts as a magnet.

Risk Management: Prior value edges provide logical stop/target zones. Use prior POC as a target for mean reversion strategies.

⚙️ How It Works
The script continuously calculates the current VWAP and overlays previous period’s volume profile levels:

Daily chart: Shows yesterday’s value area and POC.

Weekly chart: Shows last week’s value area and POC.

Monthly chart: Shows previous month’s levels.

This gives traders context on where the bulk of volume traded historically, helping assess real support/resistance built on actual activity.

🛠️ Settings Groups
VWAP Settings: Timeframe, deviation bands.

Color Settings: Full color and line style control.

Value Area Settings: Styling and extensions for prior levels.

Label Settings: Clear identification of levels with prefixes.

✅ Best Practices
Use previous daily levels for intraday trading.

Use previous weekly levels for swing setups.

Use previous monthly levels for longer-term positioning.

Look for confluence between multiple timeframe levels.

This indicator helps bridge real-time VWAP flows with historical volume profile zones — giving traders context for where institutional positioning may remain influential.
⚠️ Disclaimer
This script is provided as-is for educational and informational purposes only. Neither FoundryFutures nor the author(s) of this code accept any liability for financial losses or damages resulting from its use. Trading involves substantial risk and is not suitable for every investor. Always do your own research and consult a qualified financial advisor before making any trading decisions.