Thank you Schnappi for the Script, this saves some frustrating waiting and checking.
for those who wants week and month, just add the 2 lower lines into the code.
writeHistory(PERIOD_M5); writeHistory(PERIOD_M15); writeHistory(PERIOD_M30); writeHistory(PERIOD_H1); writeHistory(PERIOD_H4); writeHistory(PERIOD_D1); writeHistory(PERIOD_W1); // added week writeHistory(PERIOD_MN1); // added month
Although I like the idea of automation, this script seemed to take 12 hours to process 1 year's worth of 1M data. As the data I have is 30 year's worth, I thought leaving it to run for an estimated 15 days was a little excessive!
So I used the period_converter script which ships with MT4, and did the job manually. Took me about 1/2 an hour to create all time frames, i.e., 1M 5M 15M 30M 60M 240M 1440M and 10080M.

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Period_converter_auto:
Author: schnappi