PRODUCT · MAE / MFE
MAE and MFE: the trades that got away
Two numbers per trade — how far it went against you, how far it ran your way — explain your entry and exit quality better than any win rate.
2026-10-08 · SIDDANI BLOG
Win rate tells you how often you were right. It says nothing about how right — whether your winners ran three R or died at 0.2 R, whether your losers were cut at half an R or held to two. Maximum Favorable Excursion and Maximum Adverse Excursion measure exactly that, per trade, from real venue candles.
How it is measured
When a trade closes, Siddani fetches the venue candles covering its life and records the extremes: the lowest low against a long (MAE) and the highest high in your favor (MFE), both normalized to R using the same risk baseline as the trade's R multiple. Direction-aware, clamped honest — a trade that never went against you shows zero adverse excursion, never a fabricated number.What the gauges tell you
Entry efficiency: how much heat you take before trades work. Exit efficiency: how much of the peak move you actually captured. A high MFE with a low realized R is the signature of exits that cut winners early — the most common leak in otherwise-profitable systems, and invisible in win rate alone.Reading the scatter
The MAE/MFE scatter plots every trade: green dots right and high are winners that worked immediately and ran; red dots deep and low are entries that never went your way. Patterns here suggest concrete fixes — tighter entries, wider stops, or partials at a defined R.Where the numbers come from
Exchange trades are measured from 1-minute venue candles (5-minute beyond eight hours, bounded at three days per pass so a big backfill never hammers the venue). MetaTerminal trades accept minute-bar chunks from the EA — the same engine, the same math. Unmeasured trades stay honestly at zero until their candles are fetched.Two numbers per trade, R-normalized with the same baseline as the trade itself. The panes render what was measured; nothing renders what was not.