Maximum favorable excursion (MFE)
The best a trade ever looked before it closed.
Formula
Give-back = |MFE| − the trade's final return
How to read it
A large average give-back means winners were allowed to round-trip; a profit target or a trailing stop near the typical MFE would have kept more.
How to use it
Read it with MAE: MAE says how much room a stop needs, MFE how much profit was left on the table. The stop ladder shows what a hard stop at 2%, 3%, 5%, 7.5%, 10%, 15% or 20% would have done to the whole trade set.
Limitations
Measured on the bars the backtest used, so on daily bars the excursion inside a day is not seen.
In Kereon
Strategies · All statistics. Averages, medians and 90th percentiles for winners and losers; needs at least five trades. The ladder counts every trade whose adverse excursion reached the level as stopped out at that loss.
Also called: give back, give-back, best point, stop ladder.