How to calculate MAE and MFE
Long: MAE% = (Entry − Lowest) ÷ Entry × 100 MFE% = (Highest − Entry) ÷ Entry × 100
Short: MAE% = (Highest − Entry) ÷ Entry × 100 MFE% = (Entry − Lowest) ÷ Entry × 100
Scaled entries: Entry = VWAP = Σ(Priceᵢ × Sizeᵢ) ÷ Σ Sizeᵢ
MFE captured = Exit move ÷ MFE move × 100
Worked example
- You buy 50 units at 100 and 50 more at 95 → VWAP = 97.5.
- The lowest price during the trade is 90: MAE = (97.5 − 90) ÷ 97.5 = 7.7%.
- The highest is 110: MFE = (110 − 97.5) ÷ 97.5 = 12.8%.
- Exiting at 105 captured 7.5 ÷ 12.5 = 60% of the best available move.
How to interpret MAE and MFE
One trade's MAE and MFE are anecdotes; hundreds of them are a map. If almost all your winners have an MAE below 1.2%, a stop at 1.5% rarely costs you a winner. If your winners routinely reach an MFE of 3R but you exit at 1R, your exits leave money on the table.
Enter your initial stop to see both excursions in R, which makes them comparable to R-multiples and stop distances from the ATR calculator.
Limitations and common mistakes
- Use the highest and lowest prices only while the trade was open, not for the whole day.
- Intrabar data matters: daily highs and lows can hide the order in which they were reached.