What MAE and MFE Are
Maximum Adverse Excursion (MAE) is the largest unrealized loss a trade experienced against you before the exit — measured from entry in price, ticks, or dollars. Maximum Favorable Excursion (MFE) is the largest unrealized profit the same trade saw in your favor before you closed it.
If you bought MES at 5200.00, the trade dipped to 5196.00 (−16 ticks) then ran to 5208.00 (+32 ticks) before you exited at 5204.00, MAE is 16 ticks against and MFE is 32 ticks in favor. Final P&L alone would hide both numbers.
Why Futures Traders Care
Stops that sit inside typical MAE get shaken out of trades that would have worked. Targets that sit far beyond typical MFE leave money on the table — or never get hit. Reviewing MAE/MFE across a sample of similar setups tells you whether your stop and target geometry matches how the market actually moves in that setup.
On prop firm accounts the same idea has a compliance angle: large MAE relative to your daily loss limit means a single trade can consume most of the day's room even if you eventually scratch or win. That is a sizing problem as much as an entry problem.
A Practical Review Loop
Pull a set of trades from one setup — same session window, same direction bias, same instrument family. Plot or list MAE and MFE in ticks, not just dollars, so micro and mini samples stay comparable when you size differently.
Ask three questions: (1) Are losers routinely seeing MAE larger than your planned stop — meaning the stop is fiction? (2) Are winners routinely seeing MFE much larger than your target — meaning you cut runners too early for that setup? (3) Are scratch trades showing huge MFE then giving it all back — a management issue, not an entry issue?
- Compare MAE to your actual stop distance, not your intended stop.
- Compare MFE to your actual target or scale-out points.
- Separate winners and losers — average MAE on winners is often the more useful stop clue.
Where MAE/MFE Mislead
Small samples dominate. Ten trades of an opening-range breakout in a quiet week do not define the MAE distribution for news days. One outlier spike can drag the average MAE into a stop width you will never actually place.
Tick charts and bar charts see different paths if your journal reconstructs from sparse fill data. Broker fill journals without intrabar path may understate true MAE/MFE. Treat reconstructed excursion numbers as estimates unless you captured the path.
Optimizing stops purely to historical MAE is curve-fitting. Markets change; the goal is a stop that survives normal noise for the setup, not a stop that would have saved every historical loser.
Journaling Without a Second Tool
MimikTrader journals the fills that come through your connected accounts and copy groups so the review set matches what you actually traded — including followers with different multipliers. Pair that with planned R:R from the risk/reward calculator before the session, then compare planned stop distance to realized MAE after.
Deep tick-by-tick excursion replay is a specialized journal feature some dedicated analytics products invest in heavily. MimikTrader's job is multi-account execution and live risk enforcement first; use MAE/MFE concepts in review even when you are estimating from price path notes.
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