To grab the data, we use SQ Tick Data Downloader. Then we copy the downloaded data into the Tickstory files folder (another software) and we export them to Metatrader with this last one.
We launch MT4 still with Tickstory and we do our test.
A good complete guide :
How I get 99.9% modelling quality on MT4
Sometimes we can get some errors (like data calculation issue) and during the exportation, we will have to set the calculation mode to 1. However it will limit the lot size to 1 lot, quite annoying.