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Maximum Adverse Excursion

MAE is the abbreviation for maximum adverse excursion. Made famous by John Sweeney, the MAE for each trade is defined as the lowest low of the open profit within the trade. If a long trade went down to a penny a share, the MAE percentage would be 99%. Conversely, if the long trade never went below the purchase price, the MAE would be 0. This calculation can be used in conjunction with drawdown to help determine how much the trade or strategy goes against before it goes for.

See Also

Analyzing System Results