MAE and MFE: Measure a Trade’s Intratrade Price Path

Choose a path measurement convention

For a constant-size long position, adverse price excursion can be measured as entry minus the lowest observed price, floored at zero. Favorable excursion is the highest observed price minus entry, also floored at zero. For a short position, a higher price is adverse and a lower price is favorable. Multiplying by a compatible linear quantity translates price distances into money.

MetaTrader's testing report includes MAE and MFE analyses. Platform reporting conventions can differ, so check whether values use gross or net profit, marks or executable sides, and a per-deal or per-position lifecycle.

Trace an original long example

Assume a long entry at 100 for 10 underlying units. Between entry and final exit, the observed minimum is 97 and maximum is 106. Under a gross constant-size price convention, MAE magnitude is (100 − 97) × 10 = 30, while MFE magnitude is (106 − 100) × 10 = 60.

If the final exit is 102, realized gross profit is 20. That result does not contradict an MFE of 60: the position experienced a larger favorable movement than it ultimately realized. It also does not prove that a 106 exit was practically available for the whole quantity.

Reverse the direction for a short

For a short entered at 100 with the same observed high and low, the adverse magnitude is (106 − 100) × 10 = 60 and the favorable magnitude is (100 − 97) × 10 = 30. The instrument path is unchanged; the position direction reverses its interpretation.

Keep a clear sign convention. Some reports display MAE as a negative amount while others report its positive magnitude. Recording both a field name and unit prevents a positive MAE magnitude from being mistaken for profit. If entry prices include a spread but marks use a midpoint, disclose that mismatch rather than treating the output as net executable P&L.

Avoid hindsight and sampling traps

A daily or minute bar can hide the order of its high and low. If the trade closed partway through a bar, using the complete bar can import price movement from after the exit. Exact lifecycle timestamps and finer data may be needed. For changing position size, reconstruct marked P&L through the actual inventory path; multiplying one extreme by the final quantity can be misleading.

Use excursion analysis to inspect historical behavior and test a predeclared hypothesis. Choosing a stop or target after looking at every trade's best outcome can overfit the same sample. Include costs, liquidity and fill assumptions in any later evaluation. When comparing copied accounts, calculate each account's own lifecycle because delayed entries, partial fills and exits can create different observation windows even for related source signals.