Trade Excursion Reports: MFE, MAE, and Capture Ratio by Closed Trade

Summary

This report tool exports one CSV row for each closed position, grouping deals by position identifier. Its fields include symbol, direction, entry and exit details, profit points, maximum favorable excursion (MFE), maximum adverse excursion (MAE), capture ratio, bars spanned, and holding time. It can read a selected history period and either limit results to the chart symbol or include all symbols.

The tool also prints aggregate trade statistics, including outcome counts, net result, and median excursion, capture, and bar measures. Trades that cannot be measured because historical bars are unavailable are reported separately rather than assigned zero values. Excursions are estimated from the highs and lows of bars covered by each trade, so the intrabar price path is unknown; the description recommends using a smaller timeframe when many trades span only one bar. No strategy performance results are supplied.

Key ideas

• The report calculates MFE and MAE for each closed position and exports the results to CSV.
• Excursion measurements use bar highs and lows across the trade's holding period.
• The summary includes trade outcomes and median excursion, capture, and duration statistics.
• Trades without available historical bars are counted as unmeasurable rather than recorded as zero.
• Bar-based estimates cannot reveal the price path within each bar.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.