The setting that you are referring to doesn't seem to prohibit trading to certain blocks of time. The first screenshot shows the setting is set for 07:00 to 12:00 and the second screenshot showing the collection performance report which shows trades being entered outside of the permitted time block.

If I understand the process correctly, strategy generation is the simulated running of an EA based on user-defined criteria and measured against performance metrics. If the EA simulation (strategy generation) includes trades out of the desired time block and includes the results of those trades in the performance analysis, the results will be skewed with respect to the EA applied to the MT4 chart in live trading.

Therefore, if the simulated EA does not respect the trading time block, I would need to modify the historical data to include only the time block in which I have an interest in running the EA simulation.

Response for Popov post ... My primary use for Express Generator and EA Studio is to identify the technical indicators, their optimal parameter settings, and the optimal take profit and stop loss values for strategies (actually simulated EA trading).

Every experienced trader knows that price action for instruments varies across intraday blocks of time (e.g. EURUSD has 700% more volatility between its minimum and maximum intraday). Additionally, most experienced traders have come to the conclusion that particular time blocks produce the majority of the trader's profits and losses, so they limit their trading to these time blocks. This is not rocket science.

Why then would it make sense to backtest strategies that are skewed by the inclusion of price data for time blocks you were not intending to trade?

The process of filtering the MT4 data from the broker's server is actually quite simple. Simply use the regular expression replace function in Notepad++ (I use a separate iteration of MT4 to generate the filtered data set)

With respect to the creation of the EA for the purpose of trading, the EA produced by EA Studio does not have numerous trade management features that are commonly used by expereinced traders so I simply reverse-engineer the strategy settings and add the trade managment features in another software.

In this way I have the best of both worlds. I use the superior features of Express-Generator to find the optimal performance metric based strategy settings for the time blocks I intend to trade and also benefit from an EA that utilizes advanced trade management features.

There must at least one trader in the forum that agrees that this approach has validity.

Cheers
Daniel

The take-away from this is simple: additional trading sessions would be great in Studio/Express. There is no need to overcomplicate things with export scripts with left-out data. That's potentially to break the backtest and indi values.

I understand your recommendations to conform to the backtesting structure as it exists to avoid the potential of complicating the strategy generation effort. Unfortunately, conforming to an existing backtesting structure that doesn't optimize the two most significant factors in developing a trading edge (1) pattern recognition across unique time series segments and (2) trade execution and management, seems pointless.

There might be some psychological comfort in seeing hundreds of thousands of strategies being backtested but in the end only one strategy with an edge is what is needed to be profitable.

In either case, thank you for your thoughtful commentaries.