Maximum Adverse Excursion (MAE)

What is Maximum Adverse Excursion (MAE)?

MAE stands for Maximum Adverse Excursion and it tells you what is the max amount of price movement against your favor during the duration of your trade. If MAE distance is too high, it means you are exposing yourself to too much risk.

Learn more: MFE/MAE Charts Guide | Advanced Stats Reference

Two Calculation Methods on TradesViz

1. Theoretical Trade MAE (Price-Based)

First, calculate Price MAE as the difference between your entry price and the lowest price during the trade:

Price MAE = Lowest Price - Open Price (for longs) → negative number
Price MAE = Open Price - Highest Price (for shorts) → negative number

Then multiply by your total position size:

Trade MAE = Price MAE × Total Quantity

Example: Open price $5,478.25, lowest price $5,471.25, 20 contracts
- Price MAE = 5471.25 - 5478.25 = -7 points
- Trade MAE = -7 × 20 = -140 points = -$7,000

This is the theoretical maximum loss you could have incurred if you were stopped out at the absolute low with your ENTIRE position. Very stringent risk evaluation.

2. Running PnL MAE (Equity-Based)

Instead of using price × position, this method uses the trough (lowest point) of your actual running PnL curve during the trade.

How it's calculated:
1. TradesViz takes PnL snapshots every 5 seconds to 1 minute
2. The minimum value of this curve = Running PnL MAE

Example (same trade as above):
- Running PnL dropped to -$3,125 at its lowest point
- Running PnL MAE = -$3,125

Why the difference? Running PnL MAE is your actual max drawdown. Theoretical MAE assumes your entire position was open when price hit the low but if you scaled in later, your actual risk was different.

This is what prop firms use - they evaluate trailing drawdown from high-water marks, which is exactly what Running PnL MAE measures.

Account Setting: "Use running PnL for Trade MFE/MAE calculation" controls which method is used. This is enabled by default for all new accounts.

Alternative MAE Calculation

By default, TradesViz shows MAE as the worst PnL during a trade, even if it's positive (prices never went against you). Some traders prefer MAE to be zero in such cases. Enable "Use alt. calculation for MFE/MAE values in cases where prices never go against entry direction" in Account Settings for this behavior.

Important: In our opinion, zeroing out MAE throws away valuable data. Many trades have prices go up from entry and come very close to entry position only to bounce back up again these could have very well been losses, but in zero-MAE mode, you lose this insight.

MAE Analysis Charts

TradesViz provides these MAE charts:

• MAE vs PnL
• MAE vs Volume
• MAE vs Open Time
• MAE vs Close Time

Tip: Zoom into your trends by clicking on the zoom select button at the top right corner of each chart.

Stop Loss Optimization

If your MAE is consistently much larger than your stop loss distance, you're exposing yourself to unnecessary risk. Even profitable trades with high MAE indicate:

• Potential drawdown could have been much worse
• Need for tighter stop placement
• Risk/reward may need adjustment

Example: If your running PnL MAE is $1,000 and if you made a total PnL of $100, that's probably not a good trade from a risk management perspective.

Caution: Tight stops can take you out of trades prematurely. Without a high enough risk-reward ratio and win rate, you may lose more money in the long run.

Combine with Other Metrics

Analyze MAE alongside:
- R-value charts
- Risk:Reward vs PnL charts
- MFE analysis

This helps find the optimal combination of stop placement and risk management for your strategies.

Recalculating MAE

If your MAE shows N/A:
1. Stats are calculated late EOD or early morning automatically
2. You can manually recalculate via Trade Explore > Recalculate button
3. Use Group Apply for bulk recalculation of multiple trades