MAE and MFE Calculator

How MAE and MFE are calculated

Long:  MAE = Entry − Lowest low      MFE = Highest high − Entry
Short: MAE = Highest high − Entry    MFE = Entry − Lowest low
Result (long) = Exit − Entry         Result (short) = Entry − Exit

The high and low are the extremes while the trade was open. Results are in price units, so for a mix of symbols convert to R (divide by each trade's initial risk) and use the "MAE, MFE, result" input instead.

Suggested stop distances

The calculator sorts your winners' MAE and reports the 80th, 90th and 95th percentiles (linear interpolation, like Excel's PERCENTILE.INC). If the 90th percentile is 0.45R, 90% of winners never went more than 0.45R against you. It also counts how many winners and losers went beyond each level.

That is only half of the trade-off. A tighter stop:

1. turns the winners beyond it into losses, losing their whole profit;
2. shrinks the losses on losers that would have run to the old stop;
3. changes position size if you size by risk, which changes every result in R.

The scatter plot can't give you the net effect. Replaying the trades with the new stop can.

Pitfalls

• Entry and exit bars. Using the full high and low of the entry bar can overstate MAE if the extreme happened before your fill.
• Stops cap losers' MAE.A trade stopped at 1R can't show much more than 1R of MAE, so winners are the informative group.
• Mixed conditions. Quiet and volatile sessions have different excursions; split them before setting one rule for both.

The full method, including where to find MAE and MFE in TradingView, is in our MAE and MFE analysis guide.