Waindrops: Split-Period VWAP and Volume Profile Visualization

Summary

Waindrops is a charting method that divides a user-defined period into two halves and plots each half’s volume distribution by price, along with the period high and low and a separate volume-weighted average price for each half. The difference between the two VWAPs determines a bullish, bearish, or neutral color. The histogram and central bars can be configured for period length, price-bin size, update frequency, and display width, allowing comparisons such as overnight and cash-session activity.

The document explains how the visualization can be configured for balanced or unequal periods and for session profiles, but it gives no trading rules or evidence that the display predicts prices. It is limited to intraday minute charts and requires price, time, and volume data. Fine histogram granularity and frequent updates increase computation; the author warns that high tick counts can exceed script execution limits. Users must tune bin size and display settings to the instrument and desired level of detail.

Key ideas

• Each waindrop splits a chosen period into two halves and displays their separate volume profiles and VWAPs.
• The relative change between the half-period VWAPs sets the bullish, bearish, or neutral color.
• Unequal periods can distinguish sessions such as overnight and regular trading hours.
• The indicator requires intraday price and volume data, and its resource demands rise with tick density and update frequency.
• The visualization describes traded volume distribution but supplies no tested trading signal.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.