Using MAE and MFE to Evaluate Closed Trades and Exit Rules

Summary

The document describes a utility that exports closed MT4 trades to a spreadsheet file and adds Maximum Adverse Excursion (MAE) and Maximum Favorable Excursion (MFE). These measure the farthest price moved against or in favor of a trade while it was open, using one-minute price history. A captured-percentage field compares realized results with the favorable excursion, which can help evaluate whether stop losses or profit targets are well placed across a collection of trades.

The export includes trade identifiers, timing, size, prices, duration, costs, net profit, point results, excursion values, and strategy metadata. Users can filter by recent closing history, symbol, or strategy identifier, and can disable excursion calculations to speed up the export. Partial closes are separate records, and only history loaded in the terminal is exported. The excursion figures have limits: they use Bid bars, omit spread effects for sells, may be unavailable when old minute data is missing, and convert money values approximately when profit currency differs from account currency.

Key ideas

• MAE records the largest adverse price move while a trade was open, and MFE records the largest favorable move.
• Comparing excursions across trades can help assess stop-loss and take-profit placement.
• The captured-percentage field indicates how much of a trade's favorable excursion was retained.
• Excursions are calculated from one-minute Bid history, so spread effects for sells are excluded.
• Missing minute history leaves excursion fields blank, and converted money values may be approximate.

Tags

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