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Worst winner MAE

This is the highest MAE observed among your winning trades: in other words, the furthest a trade went against you before coming back and paying. A single value, from a single trade, and yet the most telling of the family.

The formula

Among your winning trades, the deepest dip (in R) endured before turning positive.

How to read it

How close a winner came to going wrong. Very negative = you held past your stop and got lucky.

It sets the floor for your stop. If your best winner of the quarter went to 0.85R before turning, a 0.7R stop would have killed it. That value therefore says exactly what tightening would cost, in named trades rather than in hypothesis.

The classic mistake

Widening your stop to cover that case. One trade does not justify a rule: widening to save the exception makes every ordinary loser more expensive, and there are far more of those. This value is there to stop you tightening blindly, not to make you widen.

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