MAE and MFE: the two numbers your P&L column throws away

Here are two trades from a journal. Both bought at ₹100. Both sold at ₹110. Both made exactly ₹1,000.

The first went straight up and you sold near the high. The second dropped to ₹94 — nearly stopping you out — then ran all the way to ₹128 before falling back to ₹110, where you finally sold out of relief.

Your P&L column records these as identical. They are not remotely the same trade.

The two measurements

MAE — Maximum Adverse Excursion. The furthest price moved against you at any point while you held. In the second trade, ₹6 per share.

MFE — Maximum Favourable Excursion. The furthest price moved in your favour. In the second trade, ₹28 per share.

Your entry and your exit are two flat points. MAE and MFE describe the shape of everything in between — and that shape is where your actual behaviour lives.

Three numbers Trader Blueprint derives from them

1. Capture rate — MFE vs what you kept

Of the profit that genuinely existed while you held, what share did you take home?

Capture rate = realized profit ÷ MFE value

In that second trade: ₹1,000 realized against ₹2,800 available = 36%. You gave back nearly two-thirds of what the market handed you.

One caveat the app enforces: capture rate is only computed on winning trades. On a loser the number is negative and meaningless, and averaging it in produces nonsense — an early build of this feature reported an average capture rate of −193% before that was caught.

2. MAE ÷ stop — is your stop the right width?

This is the one that changes how people trade. For every trade that won, how close did it come to stopping you out first?

MAE ratio = MAE distance ÷ your stop distance

• Consistently above 0.85 — your winners are routinely dipping to within a whisker of your stop before working. Your stop is too tight for this strategy's noise, and you are being shaken out of trades that would have paid.
• Consistently below 0.6 — your winners never come close to your stop. You're risking more per trade than the setup actually requires; a tighter stop would let you size larger for the same rupee risk.
• Between 0.6 and 0.85 — well calibrated. The stop sits just outside normal noise.

3. Give-back (End Trade Drawdown)

The profit that existed at the peak and was gone by the time you exited. Averaged across your trades, it's the single clearest measure of recoverable leakage — money you already earned and then handed back.

Reading the cloud

Trader Blueprint plots every trade as a dot: excursion on the horizontal axis, realized P&L on the vertical, green for wins and red for losses. The MAE view adds a dashed line at your average stop distance.

Patterns show up immediately:

• Red dots far to the right on the MFE chart — trades that were substantially profitable and still ended as losses. The most expensive habit there is.
• Green dots past the stop line on the MAE chart — winners that dipped beyond where your stop should have been. If there are many, either your stop is too tight or you're not honouring it.
• A tight cluster near the diagonal on the MFE chart — you're capturing most of what's available. This is what good looks like.

An honest limitation

What's described here is price excursion — it treats the position as a single entry and a single exit. If you scale in and out heavily, true running-P&L excursion (which weights each price move by the quantity you actually held at that moment) is a more accurate measure.

For a swing trade with one entry and one or two exits, the difference is negligible. For a position you pyramid four times, it isn't. Running-P&L excursion needs intraday price history stored per position and is planned rather than built.

Better to know which one you're reading than to be told a more flattering number.

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