I think this is the only way to get realistic results, esp. because the important time component (both signals generating and execution speed) of this strategy can hardly be simulated even if the tick material is valid and fine. And I fear that at last Zorro wasn't built to simulate strategies that are at least anywhere on the border to high frequency trading.
I think the biggest problem right now is broker support. MT4 just isn't suited for arbitrage with the execution speeds you see from it.
To get even closer to realism, I ended up writing a Python script that connects to cTrader's FIX API and records arbitrage opportunities. After you account for spread and commission (which eat into potential profits
a lot), arbitrage opportunities are
very fleeting.
