This is an interesting one from our archives which I thought should be in here - the TWAP (Time Weighted Average Price) by Mladen.

As explained by Mladen:
This would be the time weighted average price (a kind of a moving average).

The description used is the following :

The Time-Weighted Average Price (TWAP) is defined as the average price of a security over the course of a specified period of time. The TWAP is traditionally calculated by first averaging the open, high, low, and close prices for each bar and then calculating the average of those averages as time progresses.
It depends on the time frame used, but it is not a multi time frame indicator. What it does is the following

• It checks if a new period begins
• If it does, then it resets the calculation period to 1.
• After that with each bar passed, the calculating period is increased by 1 until a new reset is found

So, if you use current time frame, that is simply drawing the price line on the chart. To have some effective calculation, any higher time frame must be used. Usually daily time frame is used for this indicator.

Also, this indicator can calculate all the time frames supported by Metatrader 5 (this is Metatrader 4 indicator), so time frame like 2,3,6 hours and so on are supported too.