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.