Ok, I got just one step further, but am stuck with it. For any other beginner, like me, I tell you what I did so far:

1. Open the history folder and dump in a csv file from http://www.histdata.com
2. Edited the CSVtoHistory script to the name of my CSV file, and renamed string OutName = "testConversion.t6";
3. Run the script - all was good and I see the file "testConversion.t6" in the history folder.

But now I am stuck, because if I run any strategy (whether Z or workshop 4), I can not select the testConversion file from the pulldown menu to the right of the strategy. (btw, I also can not find the selection for the default generated original "USDZAR_2015.t6" file, so it seems not to be the choice of my file, but a general preselection feature I don't know how to deal with.) any help anyone ?