Maximum adverse excursion (MAE)
Maximum adverse excursion (MAE) is the largest move against a position between its entry and its exit, measured from the entry price. It records how deep a trade went into loss before it closed, whether the trade ended as a winner or a loser.
Senzoukria · Glossary · Updated September 2026
What MAE measures
For a long trade, MAE is the entry price minus the lowest price traded while the position was open; for a short, it is the highest price minus the entry. It is expressed in ticks or in currency and is always non-negative. A trade that never went against its entry has an MAE of zero, which is a measurement, not missing data. MAE needs the price path inside the trade: a trade list with entry and exit prices only cannot provide it.
- MAE is defined per trade, then studied as a distribution across trades.
- It is independent of the result: a winner can have a large MAE if it survived a deep hole.
- In ticks it maps directly to a stop distance; in currency it maps to account risk.
Using MAE to place stops
The classic use plots each trade's MAE against its final result. Winners tend to cluster at small adverse excursions; losers spread out to the right. A stop placed at a given MAE cuts every trade to its right, so the chart shows what a tighter stop would have cost in winners and saved in losers. The winners' median MAE is a useful reference: a stop inside it removes half the winning trades.
- Look for the MAE beyond which almost no trade recovered; that is the region where a stop stops costing winners.
- Check MAE by session and by regime; a stop sized on calm days will be hit on volatile ones.
- Combine with maximum favourable excursion to see the whole path, not only the adverse side.
In Senzoukria
The backtest results panel draws "Adverse excursion vs result", one point per trade with a dashed line at the winners' median. Its hint reads that winners far to the right survived a deep hole and a tighter stop would have cut them. When the run carries no excursion data, the panel says "No excursion measured on these trades" and the prop firm simulation refuses to settle a drawdown rule that follows open profit rather than assuming a path.
A separate chart indicator, "Max Adverse Excursion" (catalog id max-adverse-excursion), applies the same idea to each bar: signed low minus open for an up bar, high minus open otherwise, in ticks. The reference is each bar's open and its final direction, not a recorded trade entry. If the tick size is unknown the indicator draws nothing rather than a false value.
Common mistakes
- Reading the bar indicator as trade MAE: the indicator assumes an entry at each bar's open.
- Sizing a stop on MAE from a bar-based backtest, where the intra-bar path is unknown.
- Treating a missing MAE as zero; zero means the trade never went against entry.
- Ignoring that stops placed at a typical MAE change the strategy, which must then be re-tested.
Related
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Frequently asked questions
- Does MAE require tick data?
- It requires the price path inside each trade. Bar highs and lows give an upper bound when a trade spans several bars, but the entry bar and exit bar are ambiguous. Tick replay gives the exact figure, which is why the excursion charts depend on the granularity of the backtest.
- Why does the Senzoukria indicator report MAE in ticks?
- Because MAE is used to size a stop, and a stop is reasoned in ticks, the quotation step of the contract. The catalog entry states that the conversion uses exact integer tick indices rather than a floating-point division, and that the indicator draws no point when the tick size is unknown.
- What is a good MAE?
- There is no universal value. MAE is compared with the trade's own stop and target, and with the instrument's volatility on that day. The relevant question is where winners and losers separate in the distribution, which the excursion chart shows for the tested sample only.