Two of the most useful numbers in trading almost nobody looks at: MAE (Maximum Adverse Excursion) and MFE (Maximum Favorable Excursion). Together they tell you where your stops and targets actually belong — based on how your trades really behaved, not where a round number felt comfortable.
What they mean
- MAE — for each trade, the furthest price moved against you before the trade resolved. It answers: how much heat did this position take?
- MFE — the furthest price moved in your favor. It answers: how much was on the table at the best moment?
Reading the MAE scatter
Plot every trade's MAE and separate winners from losers. A common, expensive pattern: your winning trades rarely dip more than a fraction of your stop distance before working. If winners almost never go past, say, 0.6R against you but your stop sits at 1.0R, you're paying for 0.4R of pain you never actually needed. Tightening the stop toward where winners live can cut losers without killing many winners — and the data shows you exactly what happens.
Reading the MFE scatter
MFE does the same for targets. If trades routinely run to 2R in your favor but you're banking at 1R, you're leaving money on the table; if they rarely reach your target, it's too greedy. MFE turns "where should my target be?" from a guess into a measurement.
Risk geometry, not vibes
Together, MAE and MFE define the risk geometry of a strategy — the shape of its trades. Fitting your stop and target to that shape is one of the highest-leverage, lowest-risk improvements you can make. TapeScript plots MAE/MFE for every strategy automatically, so you tighten the geometry to the data instead of to a round number. See your risk geometry →