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Average MAE (worst moment)

MAE, maximum adverse excursion, is the deepest unrealised loss a trade went through before closing. A winning trade can have a large MAE: it went negative, sometimes deeply, before coming back. The final result keeps no trace of it, MAE does.

The formula

Maximum Adverse Excursion: the peak unrealized loss a trade took before closing, averaged.

How to read it

How far it pulled against you before turning. A large MAE on your winners = stops too wide, or luck.

It is the data point that lets you place a stop on measurement rather than on instinct. Look at the MAE of your winning trades: if none went past 0.6R before turning, a 1R stop is too wide and expensive on losers. If many brushed 0.9R, tightening it would cost you your best trades.

The classic mistake

Reading MAE without separating winners from losers. Mixed together they give an average that describes neither. The whole value of the measure is in comparing the two populations.

To go deeper on this : read the full guide. Every term is gathered in the glossary.