MFE & MAE

Definition

MFE (Maximum Favorable Excursion) is the highest unrealized profit a trade showed at any point between entry and exit. MAE (Maximum Adverse Excursion) is the deepest unrealized loss it reached. Closed PnL tells you where the trade ended; MFE and MAE describe the whole path it took to get there.

The two most useful derived numbers are capture (realized PnL ÷ MFE — how much of the available move you kept) and pain (realized loss ÷ MAE — how much of the worst-case drawdown became a real loss).

Formula

MFE and MAE can be read as price, USDT, % of entry, or R-multiples. Expressed in R they compare cleanly across different position sizes.

Worked example

Long ETHUSDT at $3,500, stop $3,470 (risk $150 = 1R), exited $3,520 for +$100 (+0.7R). But MFE reached $3,580 — the trade offered +$400 (+2.7R). Capture = $100 ÷ $400 = 25%. In closed-PnL view it's a small win; in MFE view it's a good read you barely monetized. If 25% is your average capture, the fix is your exit framework, not your entries.

Why it matters

• Low capture on winners (sustained below ~50%) means your reads are fine but your exits leak edge — trail wider or scale out later.
• High pain on losers (above ~80%) means you eat most of every drawdown — a stop/defense problem, not an entry problem.
• On Bybit perps the 24/7 book makes wicks and stop runs real reachable prices, so MAE-past-stop patterns surface stop-placement problems in seconds of review.
• Read them as a population (30+ trades), never one trade — single-trade MFE stories are just survivorship bias.

Related

• →MFE/MAE for Crypto Perpetuals (guide)
• →R-Multiple