MFE and MAE: what you left on the table and what you sat through
The result of a trade tells you how it ended. MFE and MAE tell you what happened on the way — and that is usually where the fixable part is.
Your journal records a result: plus or minus. That is not enough. A trade closed for a thousand may have shown five thousand along the way, or it may have gone three thousand against you first and come back. Three different trades, one identical line in the report.
Two metrics close the gap. MFE, maximum favourable excursion, is the largest unrealised profit the trade ever showed. MAE, maximum adverse excursion, is the largest unrealised loss.
What they tell you
The gap between MFE and the result is what you left on the table. If MFE across your history is consistently twice the realised result, your entries are not the problem: you are exiting early or your target sits in the wrong place.
MAE on winning trades is what you sat through. If your winners routinely dive deep before turning, your stop is either too wide or your entry is consistently early. The second is not fixed by moving the stop.
MAE on losing trades tests the stop. If losers barely went your way at all before running against you, the idea was wrong at entry and position management was never going to save it.
How to use them
The most useful single view is the distribution of MAE across winning trades. It answers where the stop belongs: if nine of ten winners never went against you beyond some level, everything wider than that level is the premium you pay for the tenth.
The same logic applies to MFE and targets. If trades regularly reach a level and only occasionally travel further, taking part of the position at that level is arithmetically better than waiting for the extension.
One caveat: both metrics describe your trades on your history. This is not a market regularity, it is a description of your behaviour, and it moves when your behaviour does.
Why almost nobody has them
The reason is technical. Computing MFE and MAE needs more than entry and exit prices — it needs the price history inside the life of the trade, at sufficient resolution. A broker statement does not contain it; it contains trades. So the tool has to pull quotes and walk them for every position.
In MaxProfit these columns arrived in 6.12, at first only for trades produced by the strategy tester, where the history is present by construction. In 6.14 they were extended to trades imported from broker and platform statements, and fed into the capital management section.
Where to start
- Turn on the trade excursion columns in the journal — they are hidden by default.
- Sort winning trades by MFE and look at the ten with the widest gap between MFE and result. That is your money left on the table, and those ten usually share a story.
- Plot the MAE distribution across winners. That is your stop answer, computed on your data instead of borrowed from a book.
- Repeat after another hundred trades. The metric describes habits, and habits change.
The result of a trade is the verdict. MFE and MAE are the transcript, and the fixable part is usually in the transcript.
Read next
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Two ways of expressing drawdown as a percentage produce numbers that differ several times over. Both appear in reports, and almost nobody states which one they used.
Profit factor lies on small samples
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