TRADE ANALYSIS
MAE is the furthest a trade went against you before it closed. MFE is the furthest it went in your favour. Your entries decide whether a trade works; MAE and MFE decide how much of it you keep, and they are the only two numbers that show whether your stops and targets sit in the right place.
By the Finotaur Team · Last updated: 27 July 2026
DEFINITIONS
Maximum adverse excursion is the worst unrealised loss a trade reached at any point before it closed. A trade that eventually made money but was down 15 ticks along the way has an MAE of 15 ticks. It measures how much heat the position took.
Maximum favourable excursion is the mirror: the best unrealised profit the trade reached. A trade that closed at +8 ticks but had been up 30 has an MFE of 30 ticks. It measures how much was available.
Both are recorded per trade and are meaningless individually. Their value is in the distribution across many trades, because that is what reveals whether your exit rules are systematically wrong in one direction.
| Pattern across many trades | What it suggests | What to examine |
|---|---|---|
| Winners have MAE well below your stop | The stop is wider than it needs to be for the trades that work. | Whether a tighter stop would preserve most winners while cutting loss size. |
| Losers have MAE just past your stop | The stop sits inside normal noise and is being clipped. | Whether a slightly wider stop converts stop-outs into winners, at a larger loss when wrong. |
| Winners have MFE far above the exit | Targets are leaving a consistent amount on the table. | Whether a partial exit or a trailing rule captures more of the move. |
| Losers have high MFE | Trades that were profitable are being allowed to become losses. | Whether a breakeven rule after a defined move would change the distribution. |
The fourth row is the expensive one. A log full of losing trades that were once meaningfully in profit is not an entry problem. It is a management problem, and it is the pattern most often mistaken for bad entries.
THE STOP QUESTION
The useful question is not whether your stop is too tight in general. It is whether it is too tight relative to the trades that eventually work. That is exactly what MAE on winners answers.
Take every winning trade and look at the distribution of their MAE values. If almost all winners never went more than a few ticks against you, the stop is sitting far beyond where it needs to be, and every loss is larger than it has to be for no benefit.
If instead winners routinely dip close to your stop before working, the stop is correctly placed and tightening it would convert winners into losers. Traders who tighten stops on instinct rather than on this distribution frequently destroy a working strategy.
The same analysis on losing trades answers the opposite question. If losers cluster just beyond the stop and then reverse, the stop is inside the instrument's normal noise. Whether widening it is correct depends on what it does to the average loss, which is why the change has to be evaluated on expectancy rather than on win rate alone.
THE TARGET QUESTION
MFE on winners shows how much of the available move you captured. The ratio between your exit and the trade's MFE is sometimes called exit efficiency, and tracking it over time is more informative than any individual trade.
A consistently low efficiency means the target is placed inside where the move usually goes. That is a fixable rule change. A highly variable efficiency means the exits are discretionary in a way that is not adding value, which is a different and harder problem.
The trap is over-correcting. Moving targets further out increases the average win and also increases how often a winner reverses into a loss before reaching the new target. The only honest way to evaluate the change is on expectancy across the whole distribution, not on the trades where a wider target would have helped.
Closing at +20 ticks on a trade that reached +40 is 50 percent efficiency. Averaged over many trades, this is a stable and comparable measure.
Wider targets lower win rate and raise average win. Whether that is an improvement depends on the product of the two, which is expectancy.
A handful of trades produces a distribution that is mostly noise. These are questions for a sample large enough that the pattern is stable.
PRACTICALITIES
MAE and MFE cannot be reconstructed from fills. A broker statement records the entry and the exit; it does not record where price travelled in between. That means either the journal captures tick data for the life of each position, or the numbers are unavailable.
This is the practical reason MAE and MFE are missing from most trade logs, including detailed manual ones. It is not that traders do not value them. It is that a spreadsheet cannot produce them after the fact.
If your tooling does capture them, the analysis above is a few minutes of work per review. If it does not, the honest position is that the stop and target questions are currently unanswerable, which is worth knowing rather than guessing at.
STEP BY STEP
MAE and MFE cannot be derived from entry and exit fills alone. Either the tooling records price movement during the position or these numbers do not exist for your trades.
The two groups answer different questions. Mixing them produces an average that describes neither.
If winners rarely approach your stop, the stop is wider than the strategy needs and every loss is oversized for no benefit.
If losers cluster just past the stop and then reverse, the stop sits inside normal noise for that instrument.
Divide the realised move by the trade's MFE. A consistently low figure points at targets placed inside where the move usually travels.
Re-run the change across the full sample and compare expectancy, not win rate. A change that raises win rate and lowers expectancy is a loss.
FAQ
Maximum adverse excursion is the furthest a trade moved against you at any point before it closed, measured as unrealised loss. A trade that finished profitable but was down 15 ticks along the way has an MAE of 15 ticks. It measures how much heat the position took, regardless of the outcome.
Maximum favourable excursion is the furthest a trade moved in your favour before closing. A trade that closed at +8 ticks after reaching +30 has an MFE of 30 ticks. Compared against where you actually exited, it shows how much of the available move you captured.
Look at the MAE distribution across your winning trades. If most winners never came close to your stop, it is wider than necessary. If losing trades cluster just beyond the stop and then reverse, it is sitting inside the instrument's normal noise. Those are two different findings with opposite fixes.
The realised move divided by the trade's maximum favourable excursion. Exiting at +20 ticks on a trade that reached +40 is 50 percent efficiency. Averaged across many winners it indicates whether targets are systematically placed inside where the move usually travels.
No. A statement records the entry and exit prices but not the path between them, and the path is exactly what these two numbers measure. They have to be captured while the position is open, which is why they are absent from most manually maintained logs.
Enough that the distribution is stable rather than driven by a few outliers. A handful of trades will produce numbers, but they will describe those specific trades rather than the strategy. Treat the pattern as informative only once adding more trades stops materially changing it.