Using MAE and MFE to Review Closed Trades
Summary
The document describes a closed-trade export that adds Maximum Adverse Excursion (MAE) and Maximum Favorable Excursion (MFE) to standard trade records. It measures these excursions from one-minute price history over each trade’s holding period: MAE captures the greatest move against the position, while MFE captures the greatest favorable move. A captured-percentage field compares realized results with the favorable excursion. Reviewing these measures across trades can help investigate whether stops are too tight or too loose and whether profit targets give back potential gains.
The export creates one spreadsheet row per closed position, with fields including timing, prices, volume, costs, net profit, duration, and excursions in points and account currency. The document notes important limits: scaling in and partial closes are combined into a position-level row; certain reversed or earlier-opened positions are skipped; missing one-minute history leaves excursion values blank. The calculations use Bid bars, which omit spread effects for sells, and currency values may be approximate when the symbol’s profit currency differs from the account currency.
Key ideas
- MAE measures the worst price movement against a trade before it closes, while MFE measures the best favorable movement.
- Comparing excursions with realized results can inform reviews of stop-loss and take-profit settings.
- The exporter measures excursions from one-minute history and reports them in points and account currency.
- Bid-based bars omit spread effects for sell trades, and money conversions may be approximate.
- Missing history and position reconstruction rules can leave records incomplete or combine multiple deals.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.