Average MAE in R

The formula

Each trade's MAE relative to your risk, averaged.

How to read it

How many times your risk the trade dipped before recovering. Beyond −1R, your stop should have triggered.

It is the most directly actionable measure in the journal. Take the MAE in R of your winners only and find the point beyond which almost none come back. That point is the stop your data justifies: wider and you pay for nothing; tighter and you cut trades that were going to win.

The classic mistake

Tightening your stop on that reading without checking what it does to win rate. A tighter stop cuts average loss but increases the number of losers. The two effects often cancel out, and only a replay over history says which way.