Maximum Adverse and Favourable ExcursionMAE
Maximum adverse excursion (MAE) is the largest open loss a trade showed before it closed; maximum favourable excursion (MFE) is the largest open profit. Comparing them across many trades helps judge whether stops are too tight or targets too close.
A trade's final result hides its journey. One winner may have been deep underwater before recovering; one loser may have been well in the money before reversing. MAE and MFE record those extremes so you can test whether stops and targets fit how your trades really move.
- Reading time
- 3 min
- Also called
- MAE, MFE, Trade excursion
- Updated
MAE and MFE in plain words
MetaTrader 5's help defines MAE as the maximum size of a potential loss during the life of a position, and MFE as the maximum size of a potential profit during the life of a position.1
It adds that MAE best characterizes the use of a protective stop loss.1
Charts of MAE are especially useful for setting trailing stops.2
How to use MAE and MFE
Record entry and extremes
Log the worst and best open price for every trade.
Convert to R
Express MAE and MFE as multiples of initial risk with R-Multiple.
Plot winners' MAE
See how far winners usually go against you before working.
Plot losers' MFE
See how often losers were in the money first.
Test stop changes
TradeStation suggests stops that capture most winners while limiting profit erosion.2
Re-test out of sample
Confirm any change with fresh Backtesting data.
Worked examples
Example 1 — Stop too tight
Stop reviewIn 50 hypothetical trades, most winners dip 0.8R before working, but the stop sits at 0.6R.
| Typical winner MAE | 0.8R |
| Stop distance | 0.6R |
Because MAE best reflects protective stop use, the data suggests the stop cuts many future winners.1
Example 2 — Giving back gains
Exit reviewMany hypothetical losers reached +1.5R MFE before closing at −1R.
| Average loser MFE | +1.5R |
| Average loser result | −1R |
Placing a trailing stop to limit profit erosion could keep some of those gains.2
Example 3 — Efficient exits
Exits efficientA hypothetical system's winners close near their MFE.
| Average MFE | +2.2R |
| Average exit | +2R |
An exit close to the MFE means you captured most of the move in your favour.1
MAE vs MFE
| Aspect | MAE | MFE |
|---|---|---|
| Measures | Worst open loss | Best open gain |
| Helps judge | Stop placement | Target and exit placement |
| Warning sign | Winners need wide room | Losers were once winners |
| Typical tool | Stop or trailing stop review | Take-profit or trailing review |
Where it is used
Stop calibration
Setting Stop Loss distance.
Target setting
Choosing Take Profit levels.
Trailing stops
Tuning a Trailing Stop.
Trade management
Improving Trade Management rules.
Advantages and disadvantages
Advantages
- Shows the path, not just the result.
- Grounds stops in data.
- Reveals gains given back.
- Works with backtests and journals.
Disadvantages
- Needs many trades to be reliable.
- Easy to overfit stops to the past.
- Requires intrabar data.
- Ignores costs and slippage unless added.
Going deeper
Read as far as you need. Each level builds on the one before it.
Definitions
Beginner
MetaTrader 5 explains each position has a result plus MAE and MFE, the largest potential loss and profit during its life.1
Reading the plots
Intermediate
TradeStation's MAE graph shows realized profit or loss against drawdown, and it suggests a trailing stop that captures the majority of winning trades.2
Caution
Advanced
Capturing close to the full MFE is the ideal, but chasing perfection invites curve-fitting — re-test every change on fresh data.1
Common mistakes
Tiny samples
A few trades prove little.
Overfitting stops
Fit the past, fail the future.
Mixing setups
Compare like with like.
Ignoring costs
Add Slippage and fees.
Check your understanding
Test yourself before moving on. Each answer comes with an explanation.
Key points to remember
- MAE is the worst open loss.
- MFE is the best open gain.
- Use them in R multiples.
- They help tune stops and exits.
- Re-test changes on new data.
Frequently asked questions
Do I need software for MAE?
Is a big MAE always bad?
How many trades do I need?
Further learning
- Stop Loss
What MAE helps place.
- Trailing Stop
What MFE helps tune.
- R-Multiple
Units for MAE and MFE.
- Realized and Unrealized P&L
Open versus closed results.
Sources
This article is written in our own words. The sources below support the specific facts, rules and figures marked with a number in the text. Links open the original publisher’s page.
- MetaQuotes (MetaTrader 5 Help). Testing Report (opens in a new tab) Checked .
- TradeStation. Maximum Adverse Excursion (Graph) (opens in a new tab) Checked .
Read more elsewhere
- Trading Metrics (our sister site): Maximum Adverse Excursion (MAE) (opens in a new tab)
Educational content, not financial advice. Examples use hypothetical prices and simplified costs; actual fees, margin rules and regulations vary by broker, market and country. Trading Metrics is our sister site, under the same ownership; we are not affiliated with any other publisher linked above. Last reviewed . Report an error or request a source credit.