Replacing MT4 alert with own one

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I have an indicator with sound alert, however I can't change it within the indicator, it doesn't give me the option. If I go to Tools-option and try to change the alert sound,I can pick my sound in the drop down menu,

but when I click on it, it goes back to default sound.


What are my options here?


Thanks very much

 
I think you can replace the wav file in the Sounds directory. MT wouldn't mind.
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