The genetic evidence is somewhat contradictory as to the origins of this tribe, but leans in the direction that they were not. (In any case, even if the evidence were more positive, it would not be possible to say with absolute certainty at this distance that the Kalash were descended from those armies, but it would be possible for genetic findings to correlate with the legend, e.g. if there were genetic commonalities with Greeks and those from nearby regions, and especially if these were on the Y chromosome, showing that the origin was connected to the male line.)

A 2014 study on genetic admixture, which uses statistical extrapolation alongside raw data, appeared to support the legend:
https://www.nytimes.com/2014/02/14/science/tracing-ancestry-team-produces-genetic-atlas-of-human-mixing-events.html?mcubz=0
http://science.sciencemag.org/content/343/6172/747?sid=3a8a4e24-47e8-45c8-bbf8-23c1f6d246f5

However, a 2015 genotyping study, looking more closely at the Kalash themselves, found greater commonalities between Kalash DNA and that of the remains of palaeoSiberian hunter gatherers.
https://www.ncbi.nlm.nih.gov/pmc/articles/PMC4570283/ (full text public)
Reports from general-audience sources:
http://world.greekreporter.com/2015/06/02/new-study-denies-the-greek-origin-of-kalash-tribe-in-pakistan/
http://en.protothema.gr/study-kalash-people-are-not-the-descendants-of-alexander-the-great/

Is it possible that one or two soldiers of Alexander the Great married Kalash women and that their genes are no longer visible in the record as distinctive? Yes, as not all genes are handed on to the next generation, and their Y-chromosome lineages could easily have died out by now, over 2000 years later. But if it were a substantial contribution, i.e. all or nearly all the Kalash were descended from Greeks, then something should still be evident now.

They are still a very interesting group genetically, historically and culturally, although their substantive origins don't fit with a famous Western historical figure.