Maximum Favorable Excursion Calculator
Analyze MFE to optimize take profit placement based on historical trade data. Enter values for instant results with step-by-step formulas.
Reviewed by Daniel Agrici, Founder & Lead Developer
Formula
Capture Ratio = Take Profit / Mean MFE x 100%
The capture ratio measures how much of the average peak favorable movement your take profit captures. Expected Value at each TP level is calculated as (hit rate times reward) minus (miss rate times risk), providing the mathematically optimal take profit placement for your specific trade data.
Worked Examples
Example 1: Day Trader Take Profit Optimization
Problem:A day trader records MFE (pips) for 20 trades: 60, 45, 90, 35, 75, 50, 80, 40, 100, 30, 70, 55, 85, 25, 95, 42, 78, 48, 65, 38. Current TP is 80 pips, SL is 40 pips.
Solution:Mean MFE = 60.3 pips | Median = 57.5 pips\nStd Dev = 22.0 pips\nCurrent TP hit rate: 6/20 = 30%\nCapture ratio = 80/60.3 = 132.7% (too aggressive)\nAt median TP (58 pips): hit rate = 50%, RR = 1.45:1\nAt 75th percentile (78 pips): hit rate = 30%, RR = 1.95:1\nEV at 58 pips = 0.5 x 58 - 0.5 x 40 = 9 pips\nEV at 80 pips = 0.3 x 80 - 0.7 x 40 = -4 pips
Result:Current 80-pip TP has negative EV (-4 pips). Reduce to 58 pips (median MFE) for positive EV of 9 pips per trade.
Example 2: Swing Trader MFE Analysis
Problem:Swing trader MFE data (pips): 120, 85, 200, 70, 150, 100, 180, 90, 160, 75, 140, 110, 170, 60, 190, 95, 155, 80, 135, 105. TP: 150, SL: 60.
Solution:Mean MFE = 123.5 pips | Median = 122.5 pips\nCurrent TP hit rate: 8/20 = 40%\nCapture ratio = 150/123.5 = 121.5%\nAt median (123 pips): hit rate = 50%, RR = 2.05:1\nEV at 123 = 0.5 x 123 - 0.5 x 60 = 31.5 pips\nEV at 150 = 0.4 x 150 - 0.6 x 60 = 24 pips
Result:Reducing TP from 150 to 123 pips improves EV from 24 to 31.5 pips per trade (+31% improvement) while maintaining 2:1 RR.
Frequently Asked Questions
What is Maximum Favorable Excursion (MFE) in trading?
Maximum Favorable Excursion (MFE) is the largest unrealized profit a trade achieves before it closes, either by hitting the take profit, stop loss, or being manually exited. Developed alongside MAE (Maximum Adverse Excursion) by John Sweeney, MFE measures the peak potential profit of each trade during its lifetime. For a long trade entered at 1.1000, if price reaches a high of 1.1080 before retracing and closing at 1.1050, the MFE is 80 pips even though only 50 pips of profit were captured. MFE analysis reveals how much profit your trades generate and how effectively your take profit placement captures that potential profit.
References
Reviewed by Daniel Agrici, Founder & Lead Developer · Editorial policy