Something similar was discussed in https://www.mql5.com/en/forum/140786 - more experienced mqa4 may answer better.

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Hi Guys,
As I know that MT4 is not capable of back-testing of portfolio, hence I'm thinking of creating a matrix to store the data needed for other currency pair, output the data to some other files and manually do the backtest
What's the correct way of doing this?
use
if(IsTesting()){
//store data here??
}