How to make a MIDI loop with smooth transition?

Thank you Martin,

I am a beginner to Cubase, can you tell me how would you make a MIDI loop?
I hear on YouTube a song like that - there is no stopping in the loop.
Because everything stops, including a ton of reverb, at that millisecond at the end of the composition.
I have to export my file as wave file and then have it looped 50 times in the video program.

So end my composition on pad chord and in the beginning start the same chord and same velocity.
But when I export such file and put it in Cyber Director and put precisely 1 after another, I can clearly hear a click.
There is an option crossfade but it does the job like an amateur.

Do you have any idea how musicians make such file so they can copy it indefinitely in other programs?
I can not believe that it is impossible in Cubase as it is a professional program.
Is that what you are saying?