MAE and MFE: what your worst and best price say about your stop-loss and your exits

You buy at 100 with your stop-loss at 98. The price dips to 98.8, turns, and climbs to 108. You hold, it falls back, and you close at 102 for +1R.

I closed at 1R. The price went to 4R.

Your journal has the entry, the stop-loss and the exit. It does not have the two prices that tell this story: how close the trade came to your stop-loss, and how far it ran before you got out. Those two prices are MAE and MFE.

What MAE and MFE are

MAE is the maximum adverse excursion: the worst price the trade reached against you while it was open. For a long trade it is the lowest price between your entry and your exit. For a short trade it is the highest.

MFE is the maximum favorable excursion: the best price the trade reached in your favor while it was open. For a long trade it is the highest price between entry and exit. For a short trade it is the lowest.

Both only count the time you were in the trade. What the price did after you closed is not part of them.

Measure them in R

To compare trades with different stop-losses, measure MAE and MFE in R. If R is new to you, R-multiple, explained without the math degree covers it. In short: your risk is the distance from your entry to your stop-loss, and every other distance is divided by it.

Take the trade above. The entry is 100 and the stop-loss is 98, so the risk is 2 points.

• The worst price was 98.8. That is 1.2 points against you, divided by 2: MAE is 0.6R.
• The best price was 108. That is 8 points in your favor, divided by 2: MFE is 4R.
• You closed at 102. That is 2 points, divided by 2: the result is +1R.

For a short trade the same steps run the other way. Sell at 50 with the stop-loss at 51, so the risk is 1 point. The highest price while you were in was 50.4: MAE is 0.4R. The lowest was 47.5: MFE is 2.5R.

So the first trade went 0.6R against you, 4R in your favor, and you kept 1R of it.

What MAE says about your stop-loss

Your stop-loss sits where your analysis says the trade is wrong. MAE shows you what the price actually did on the way to your exit, trade after trade.

Look at the MAE of your winners. Every winner survived its MAE. If you list them, the largest values show how much room your winning trades needed from your stop-loss.

If many of your winners went 0.8R or 0.9R against you before they worked, your stop-loss was close to taking them out. A stop-loss a little tighter would have turned those winners into losses, so check this before you tighten it.

If your winners never went more than 0.3R against you, the question goes the other way. Does your stop-loss sit where the trade is wrong, or further away than it needs to be? A wider stop-loss means a smaller position for the same risk, so the same move pays you less.

Look at the MAE of your losers. A loser stopped out where you planned has an MAE of 1R. A loser with an MAE above 1R means the price went past your stop-loss: slippage, a gap, or a stop-loss that was moved or never placed. A loser with an MAE below 1R means you closed it before the stop-loss, by hand. Each one is worth a line in your journal.

MAE does not tell you where to put your stop-loss. That still comes from your analysis of the chart. It shows you how your trades behaved around the stop-loss you chose.

What MFE says about your exits

MFE shows how far each trade ran in your favor. Put it next to the result and you see how much of that move you kept.

Capture is your result divided by your MFE. The trade above ran to 4R and you closed at 1R, so you captured 1 ÷ 4 = 25% of the move that was there.

A capture of 100% means you closed at the best price the trade reached. Nobody can do that on purpose, because you only know the best price after the trade is over. So use capture to compare: your capture this month against last month, your capture on one setup against another, your capture when you followed your plan against when you did not.

Look at the MFE of your losers. A losing trade with an MFE of 1.5R was one and a half times your risk in profit before it turned and hit your stop-loss. If several of your losers did this, look at how you manage a trade that is going your way, and check in your journal whether you had a plan for that moment.

Look at how many trades reached your target. If your target is 2R, count the trades whose MFE got to 2R or more. If few of them did, your target sits further away than your trades went.

How many trades you need

One trade's MAE and MFE describe only that trade.

Read them across many trades, and read them per setup. A breakout and a pullback can behave very differently around the same stop-loss. Ten trades can point anywhere. The longer your record, the more an average means, which is a reason to fill these in from the start rather than later.

Getting MAE and MFE right

Use the stop-loss you set at entry. MAE and MFE in R are measured against your original risk. If you moved your stop-loss to breakeven and record that level, the risk becomes zero and nothing can be measured.

Only count the time you were in. Start at the candle you entered on and end at the candle you exited on. A wick an hour before your entry, or after your exit, does not count.

Your chart shows one price. On many charts that is the bid. A long trade is closed at the bid, so the chart is right for it. A short trade is closed at the ask, which sits a spread higher, so on a short your real MAE can be a little worse and your real MFE a little smaller than the chart shows. On a wide spread this matters.

Partial exits end at your last exit. If you closed half at +1R and held the rest, the trade was still open until the last part closed. The MAE and MFE run until then.

How Vink helps

Two optional fields on the trade form. Under the result, the "Worst and best price" fold holds the worst price (MAE) and the best price (MFE). You read them off your chart and type them in. If the trade has a stop-loss, Vink shows each one in R as you type.

On the trade page. A trade with these prices shows them next to its R, for example 98.8 (−0.60R) and 108 (+4.00R).

The Excursion section in Stats. Stats shows your average MAE, your average MFE, your capture (labeled Capture efficiency), your average MAE on winners and your average MAE on losers, all in R. Capture is worked out per trade and then averaged. A losing trade that went into profit first counts as 0% capture. Orders that were never filled are left out, because a position that never existed took no heat.

In your weekly review. The review shows the week's average MAE, average MFE and capture next to the rest of the week.

The boundary

Vink does not read MAE and MFE from your screenshot. It reads the entry, stop-loss and target from your chart, but the worst and best price depend on when you got out, so you read them off the chart yourself. It takes a minute per trade, and the numbers are only as good as the prices you type.

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Your entry, stop-loss and exit tell you what you planned and what you got. MAE and MFE tell you what happened in between: how much room your trades needed and how much of the move you kept. Log both, in R, against the stop-loss you set at entry, and read them across many trades.