Maximum Adverse / Favorable Excursion (MAE / MFE)

By Jarosław Wasiński • Published: Mar 15, 2026 • Updated: Oct 11, 2026

Maximum Adverse Excursion and Maximum Favourable Excursion measure the largest unrealised loss and gain during a defined trade holding period. State whether quotes, costs and intrabar data are included. They help describe trade paths, but favourable hindsight does not prove that a different stop or exit would have been achievable.

Example. With contract size of EUR 100,000 per lot, a 0.10-lot EUR/USD purchase, representing EUR 10,000, fills at ask 1.1000. While the position is open, observed bid reaches a low of 1.0985 and a high of 1.1030. Before other costs, MAE is USD 15 and MFE USD 30. With initial R of USD 20, these are 0.75R and 1.5R. An exit at bid 1.1010 earns USD 10; USD 2 commission leaves USD 8, or +0.4R.

Define the interval and quote side

A long position’s hypothetical close is normally valued at bid, and a short position’s at ask, according to the product rules. Measure only from actual entry until exit. MAE is the largest adverse result during that interval, and MFE the largest favourable result, often recorded as positive magnitudes. State whether fees and financing are included. A midpoint chart can produce different figures from executable quote sides.

OHLC does not reveal the complete path

A bar’s high and low do not show which was reached first. If both a stop and a target could be touched within one bar, use more detailed data or an explicit conservative simulation rule. Sparse sampling can miss the true peak or trough. A displayed price does not establish that the entire position could have filled there.

Mistake: the perfect hindsight exit

MFE is not profit that necessarily should have been captured. Placing a target exactly at historical peaks uses future knowledge. Changing the stop also changes the holding interval, so the recorded MFE may occur after the alternative position would already have closed. Recalculate an alternative exit rule from the beginning and evaluate it outside the fitting sample.

A short position and ask

An illustrative EUR 10,000 short opens at bid 1.1000. While it remains open, ask rises to 1.1020 and falls to 1.0990. Before additional costs, MAE is USD 20 and MFE USD 10. The calculation depends on the closing quote side, rather than the low on a bid-only chart. Do not assume a constant spread unless it is part of the data model.

Application

Examine MAE/MFE distributions for complete, comparable groups, including losing trades. With partial exits, distinguish price movement from valuation of the actual remaining volume. Keep initial R and the data version. These measures help formulate stop or exit hypotheses, but do not automatically select an optimum. In the course: journals and metrics.

Diagram and worked example

Educational infographic: Maximum Adverse / Favorable Excursion (MAE / MFE) — Educational diagram; model data and assumptions are stated in the graphic.
Open the full-size graphic

FAQ

Can MAE exceed 1R?

Yes. Gaps, execution, an absent stop or a different stop rule can allow a larger loss.

Does MFE measure the final result?

No. It describes the maximum during the position under the declared method, rather than realised profit.

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