Maximum Adverse Excursion Calculator
Analyze MAE to optimize stop loss placement based on historical trade data. Enter values for instant results with step-by-step formulas.
Reviewed by Daniel Agrici, Founder & Lead Developer
Formula
Optimal Stop = Mean MAE + k x Standard Deviation
Where Mean MAE is the average adverse excursion across all analyzed trades, Standard Deviation measures the spread of MAE values, and k is a multiplier (typically 1.0 to 2.0) that determines how conservative the stop placement is. Higher k values create wider stops with fewer premature exits but more risk per trade.
Worked Examples
Example 1: Day Trader Stop Loss Optimization
Problem:A day trader records MAE (in pips) for 20 trades: 25, 15, 40, 10, 30, 20, 35, 18, 45, 12, 28, 22, 33, 8, 42, 16, 38, 20, 27, 14. Current stop is 50 pips. Optimize.
Solution:Mean MAE = 24.4 pips\nStd Dev = 10.8 pips\nMedian = 23.5 pips\n90th percentile = 42 pips\nMean + 1.5 SD = 24.4 + 16.2 = 40.6 pips\nMean + 2 SD = 24.4 + 21.6 = 46.0 pips\nEfficiency ratio = 24.4/50 = 48.8%
Result:Moderate stop: 41 pips | Conservative: 46 pips | Current 50-pip stop is 12% too wide (48.8% efficiency). Tightening to 41 pips would improve RR by 18%.
Example 2: Swing Trader MAE Analysis
Problem:Swing trader MAE data (pips): 50, 35, 80, 25, 65, 40, 55, 30, 70, 45, 60, 35, 75, 20, 85, 40, 55, 30, 68, 38. Current stop: 100 pips.
Solution:Mean MAE = 50.1 pips\nStd Dev = 18.4 pips\nMedian = 47.5 pips\n90th percentile = 80 pips\nMean + 1.5 SD = 50.1 + 27.6 = 77.7 pips\nMean + 2 SD = 50.1 + 36.8 = 86.9 pips\nEfficiency ratio = 50.1/100 = 50.1%
Result:Moderate stop: 78 pips | Conservative: 87 pips | Current 100-pip stop has 50.1% efficiency. Reducing to 78 pips saves 22 pips risk per trade.
Frequently Asked Questions
What is Maximum Adverse Excursion (MAE) in trading?
Maximum Adverse Excursion (MAE) is the largest unrealized loss experienced during a trade before it either hits the stop loss or reaches the take profit target. Developed by John Sweeney in the 1990s, MAE measures how far price moves against your position at its worst point during the trade. For a long trade entered at 1.1000, if price drops to 1.0960 before rallying to hit your take profit at 1.1100, the MAE is 40 pips. By analyzing MAE across many trades, you can determine optimal stop loss placement that protects against normal adverse movement while avoiding unnecessary stop-outs from setting stops too tight.
References
Reviewed by Daniel Agrici, Founder & Lead Developer · Editorial policy