Analytics

MAE & MFE: Measuring Your Entry Precision

Step-by-step guide to using Maximum Adverse and Favourable Excursion charts for optimising entries and exits.

Maximum Adverse Excursion (MAE) and Maximum Favourable Excursion (MFE) tell you how much heat your trades take before working out and how much profit was available before you exited.

Finding the MAE/MFE Dashboard

Navigate to Analytics then Entry Precision. The dashboard has three main views:

1Scatter Plot: MAE vs MFE for every trade

2MAE Distribution: Histogram of adverse excursions

3MFE Distribution: Histogram of favourable excursions

The Scatter Plot

Each dot represents a single trade:

X-axis: Maximum Adverse Excursion (how far against you)

Y-axis: Maximum Favourable Excursion (how far in your favour)

Colour: Green for winners, red for losers

Size: Proportional to position size

Interpreting Clusters

Top-left quadrant (small MAE, large MFE): Excellent entries. The trade moved in your favour immediately with little drawdown. This is the target zone.

Top-right quadrant (large MAE, large MFE): Eventually profitable but required enduring significant adverse movement. Your entry timing or level needs work.

Bottom-left quadrant (small MAE, small MFE): The trade barely moved in either direction. Either the setup lacked conviction or you exited too quickly.

Bottom-right quadrant (large MAE, small MFE): The worst outcome—large drawdown followed by a small recovery. These trades are pure stress for minimal reward.

Optimising Stop Placement

Click the Stop Optimiser button to see a chart of potential stop distances plotted against the percentage of winners that would have been stopped out at each level.

How to Use It

1Find the MAE level where the curve flattens—this is where most of your winners' adverse movement peaks

2Set your stop slightly beyond this level

3Test the new stop level for at least 30 trades before making it permanent

Example

If the chart shows that 95% of your winning trades never exceeded -1.2% MAE, a stop at -1.5% would capture nearly all winners while filtering losers that exceed that level.

Optimising Profit Targets

The Target Optimiser works similarly for MFE:

1See where your trades typically peak before reversing

2Compare your actual exit points to MFE peaks

3The Capture Ratio shows what percentage of available MFE you typically realise

A capture ratio below 50% suggests you are exiting too early. Above 70% is excellent.

Filters and Comparisons

Use filters to compare MAE/MFE patterns across:

Strategies: Do breakout entries have tighter MAE than reversal entries?

Instruments: Is your entry precision better on certain instruments?

Time of day: Do morning entries show less adverse excursion?

Confidence level: Do high-confidence entries have lower MAE?

Weekly Routine

Each week, review:

1Average MAE for winners—is it decreasing? (entries improving)

2Average MFE capture ratio—is it increasing? (exits improving)

3Any trades in the bottom-right quadrant—what went wrong?

For the full statistical framework behind this analysis, read our blog post on [Entry Precision: MAE vs MFE Scatter Analysis](/blog/entry-precision-mae-mfe-guide).