MAE and MFE explained: what a trade did while it was open, not just how it ended

A closed trade hides most of its story

A trade record tells you the entry price, the exit price and the result. It says nothing about the journey in between. A trade that banked +$40 may have been +$120 at one point and given two thirds of it back. A trade that lost $50 may have been $5 from its stop for an hour before recovering, then collapsed anyway. Two track records with identical profit curves can be built from completely different journeys, and the journey is where you learn whether the stops, the targets and the exit logic actually fit the strategy.

Excursion analysis measures that journey. It is the part of the MetaTrader tester report most traders skip over, and it is one of the few statistics that cannot be inferred from the closed-trade list at all.

The two numbers

For each trade, from the moment it opens to the moment it closes:

• MFE, maximum favourable excursion: the best open profit the trade reached. Always zero or positive. For a BUY it is the highest bid minus the entry; for a SELL, the entry minus the lowest ask.
• MAE, maximum adverse excursion: the worst open loss the trade reached. Always zero or negative. It is how close the trade came to being stopped, whether or not a stop existed.
• Both are shown in account currency and in points. Money lets you compare across symbols; points tell you how far price actually travelled.

Why a live account cannot get this from history

The tester knows MFE and MAE because it replays every tick. A real account's deal history on MT4 or MT5 stores open and close prices only, so the numbers have to be measured as the trade happens, or rebuilt afterwards from the price data the terminal holds.

The ConfirmedTrades connector does both. While a position is open it samples the floating profit every few seconds and keeps the running best and worst, so every trade closed after the connector update carries an exact, tick-accurate excursion. For trades that closed earlier it scans the terminal's own history for the open-to-close window: real ticks on MT5, one-minute bars on MT4. Each value is tagged with how it was obtained, and the section's footer shows the count for each method.

The bar-based values come with one caveat worth understanding. A one-minute bar only gives a high and a low, so a trade held for fifteen seconds inside that bar is credited with the whole minute's range. For scalping records the bar-reconstructed MAE and MFE read wider than reality; for anything held several minutes or longer the error is small. Tick-measured values have no such problem.

Reading the profit-vs-MFE chart

Each dot is a trade: best open profit along the bottom, final profit up the side, with a trend line through the cloud. Every dot must lie on or below the diagonal, because a trade cannot bank more than its peak. The distance below the diagonal is the profit that was given back.

Dots hugging the diagonal mean exits close to the peak: tight targets, trailing stops that work, or a strategy that is simply right about where the move ends. A wide band below the line means trades routinely reach a good profit and then surrender it. When many winners sit well to the right but only just above zero, the system is leaving money on the table; when trades with a large MFE end as losses, something is wrong with the exit.

The peak captured figure in the section summarises this: the winners' final profit as a share of their combined peak. 100% would be exits at the very top, which nobody gets. Somewhere between 50% and 80% is typical of healthy trend and breakout systems; below 40% says the strategy knows how to get into a move but not how to get out of one.

Reading the profit-vs-MAE chart

Same layout, but the bottom axis is the worst open loss, so all dots sit at or to the left of zero. Trades that finish as winners despite a deep MAE are the interesting ones: the system sat through a large adverse move and came out ahead. A few of those are normal. A lot of them is the signature of a strategy with no stop, or one that averages down, and it is exactly the pattern that precedes the one trade that does not come back.

Look for the vertical band where losses cluster. If losers pile up at an MAE of roughly -$80 and winners rarely go past -$30, a stop around $40 would have removed most losers while costing few winners. That is the practical use of the chart: it shows where the stop should be from the trades themselves, rather than from a round number.

The three correlations

Above the charts the section shows three Pearson correlations, each between -1 and +1:

• Profit and MFE: high (0.7 and above) means winners are banked near their peak; profit follows the best open profit closely. Low means profit is only loosely related to how far the trade ran in its favour, which is a sign of late or random exits.
• Profit and MAE: strongly positive means trades that go deep into the red rarely recover, so a stop would cost little. Near zero means the final result has little to do with how bad it looked mid-trade, which is what a mean-reversion strategy with wide stops tends to show.
• MFE and MAE: do trades with large favourable moves also see large adverse ones? High values point to volatile, wide-swinging trades; a value near zero says favourable and adverse moves are separate populations, which is what a clean breakout system looks like.

A worked example

An XAUUSD scalping record with 265 measured trades shows a profit-to-MFE correlation of 0.81, profit-to-MAE of 0.70, MFE-to-MAE of 0.24, average MFE of $0.21, average MAE of -$0.32 and a peak-captured figure of 70%.

Read together: exits are disciplined (0.81 and 70%), losers tend to be the trades that went furthest against the entry (0.70), and the two excursions are largely independent (0.24), so the trades are not simply noisy in both directions. The average MAE being larger than the average MFE is the cost of the approach: this system accepts a slightly larger adverse swing than its typical gain, and makes money because it wins often. A buyer can check that claim against the win rate and expectancy elsewhere on the page.

What to do with it

If you run the account: use the MAE band to set or tighten stops, use the MFE band and the peak-captured figure to judge targets and trailing logic, and watch both over time. A rising average MAE with a flat average MFE is an early sign that the market has changed under the strategy, and it shows up before the equity curve does.

If you are evaluating someone else's Expert Advisor or signal: a record with no stop-loss discipline looks fine in the equity curve and obvious in the MAE chart. A seller who shows this section is showing you the part of the record that a screenshot cannot.

Related reading: reading a trading account page, maximum drawdown explained and how to vet an EA.