Measure only the open-position window
Maximum adverse excursion is the worst deviation from entry; maximum favorable excursion is the best. Here both are defined as non-negative amounts. For a long, the low determines MAE and the high determines MFE; for a short, the relationship reverses.
A high after exit is not part of that trade’s MFE. An import containing only entry and exit cannot reconstruct the path between them. Record missing, rather than zero.
A fully specified sample trade
A synthetic one-contract ES long enters at 5,000. While open, price reaches 4,998.50 and 5,004; the exit is 5,002. At USD 50 per point this gives USD 75 MAE, USD 200 MFE and USD 100 in realized gross profit.
Check resolution and execution assumptions
A candle high is not automatically an executable sell price for your quantity. Large bars can contain moves before entry or after exit. Use appropriate time resolution and record whether bid, ask or last-trade prices form the measurement basis.
Avoid inventing a perfect exit afterward
The example realizes 100 / 200 = 50% of the displayed MFE before costs. That does not mean the best point was identifiable beforehand. Study repeated patterns across comparable trades and evaluate new rules on later data.
| Measure | Points | USD |
|---|---|---|
| MAE | 1.50 | 75 |
| MFE | 4.00 | 200 |
| Realized | 2.00 | 100 |
Sources and methodology
Sources explain concepts or the respective provider’s product descriptions. Worked examples are original and synthetic. Verify current contract specifications before use.