MAE / MFE Analysis

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MAE/MFE analysis answers two of the most important questions in trade management: how far did price move against me before I exited? and how much of the favorable move did I actually capture? These metrics reveal patterns that P&L alone can’t show — like whether you’re consistently cutting winners short, holding losers too long, or placing your stops well.

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What MAE and MFE mean

MAE (Maximum Adverse Excursion) is the furthest price moved against your trade during its lifetime, measured in points. For a long trade, it’s how far price dropped below your entry before you exited. For a short, it’s how far price rallied above your entry. MFE (Maximum Favorable Excursion) is the furthest price moved in your favor. For a long, it’s the highest point above your entry. For a short, the lowest point below your entry. Both are always positive numbers — they measure distance, not direction.

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Why this matters

Consider two traders who both made $200 on a trade. Trader A’s position never went more than 2 points against them and reached 10 points in their favor — they captured 4 points of the move. Trader B’s position went 8 points against them before recovering and reaching 6 points favorable — they captured 4 points too, but endured far more pain to get there. P&L says they had identical trades. MAE/MFE tells a completely different story about risk management and execution quality.

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The MAE/MFE analysis page

Navigate to Analysis → MAE / MFE in the sidebar to access this view.

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Summary cards

At the top, five cards give you an overview:

• Avg MAE — Your average adverse excursion in points. Lower is better — it means price doesn’t move far against you before you exit
• Avg MFE — Your average favorable excursion in points. Higher means you’re taking trades that have room to move in your favor
• MAE:MFE Ratio — Average MAE divided by average MFE. Below 0.5 is excellent, 0.5–1.0 is acceptable, above 1.0 means you’re typically enduring more pain than gain
• MFE Efficiency — What percentage of the maximum favorable move you actually captured as profit. 100% would mean perfect exits at the best price. Low values suggest you’re exiting too early or giving back profits before closing
• Trade Count — How many trades have MAE/MFE data in the selected period

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Scatter plot

The main visualization is a scatter plot where each dot represents one trade:

• X-axis = MAE (how far price went against you)
• Y-axis = MFE (how far price went in your favor)
• Green dots = winning trades
• Red dots = losing trades

Hover over any dot to see the trade’s symbol, setup, and P&L. How to read the scatter plot: Trades in the top-left (low MAE, high MFE) are your best executions — price moved in your favor without much drawdown. Trades in the bottom-right (high MAE, low MFE) are your worst — lots of pain with little reward. A cluster of red dots with high MAE suggests you’re holding losers too long. Green dots with high MFE but low captured P&L suggests you’re cutting winners short.

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Trade details table

Below the scatter plot, a sortable table lists every trade with MAE/MFE data: date, symbol, side, MAE, MFE, setup, and net P&L. This lets you drill into specific trades that caught your eye on the scatter plot.

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Filtering

You can filter MAE/MFE analysis by:

• Date range — Last 7, 30, 90, or 365 days
• Symbol — Focus on a specific contract (e.g., just ES or just MNQ)
• Account — Via the sidebar account switcher

Symbol filtering is particularly useful here since MAE/MFE values are inherently symbol-specific — 2 points of MAE means something very different on ES ($100/contract) vs. MES ($10/contract).

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Which contracts have MAE/MFE data?

MAE and MFE are calculated automatically for ES, MES, NQ, and MNQ trades — the contracts where TurtleMetrics stores intraday price data. The calculation runs in the background using 1-minute candle data, so there may be a short delay before values appear on newly closed trades. Trades on other contracts won’t have MAE/MFE values. They’ll show ”—” in analysis tables and won’t appear on the scatter plot.

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Actionable insights

Here are some common patterns to look for:

• High avg MAE + winning trades: You’re right about direction but getting in too early or placing stops too tight. Consider wider entries or better timing
• High MFE + low efficiency: You’re in the right trades but giving back profits. Your exits may need work — consider trailing stops or target-based exits
• MAE:MFE ratio above 1.0: On average, price moves further against you than in your favor. This is a structural problem worth addressing
• Red cluster at high MAE: You’re holding losers too long. Your stop loss discipline may need tightening

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