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Trading-Journal MFE and MAE in Crypto: When the Common Rule Produces a Misleading Result

'Use MAE to tighten stops' works when MAE is measured consistently. Measured on wicks, or without fees, it suggests stops that are too tight.

By ChartsPod Editorial Team · Reviewed by ChartsPod Research
Published · Updated · 5 min read

Short answer

MAE (maximum adverse excursion) is often computed from bar highs and lows, which include liquidation wicks. Tightening stops to just beyond typical MAE then cuts trades that would have survived on closing prices, and ignoring fees understates what a stop-out costs. Compute MAE both from wicks and from closes, express it in R or ATR units, and test the new stop on past trades before adopting it.

Worked example

StepValue
MAE from wicksLarger
MAE from closesSmaller
Stop just beyond wick-MAECuts survivors
UnitsR or ATR
TestReplay past trades
Illustrative winners stopped by a tighter stopIllustrative winners stopped by a tighter stop: Stop at 0.6R (wick MAE) 34 % of winners; Stop at 0.8R 18 % of winners; Current 1R 0 % of winners.ILLUSTRATIVE WINNERS STOPPED BY A TIGHTER STOPStop at 0.6R (wick MAE)34 % of winnersStop at 0.8R18 % of winnersCurrent 1R0 % of winners
Tightening costs winners. Original ChartsPod editorial graphic.

Testing a new stop

Before tighteningBefore tightening: MAE wick vs close; Units (R/ATR); Winners lost; Losses saved; Net after fees.BEFORE TIGHTENINGMAE wick vs closeUnits (R/ATR)Winners lostLosses savedNet after fees
Count both sides. Original ChartsPod editorial graphic.

MFE/MAE example: Trading-Journal MFE and MAE: A Worked Crypto Example With Fees Included.

Conclusion

Related: Trading-Journal MFE and MAE: A Worked Crypto Example With Fees Included, Trailing Stops in Crypto: When the Common Rule Produces a Misleading Result.

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MAE (maximum adverse excursion) is often computed from bar highs and lows, which include liquidation wicks.

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Questions readers ask

Can MAE justify tighter stops?

Only after testing the effect on winners.

Wicks or closes?

Compute both.

What units?

R or ATR.

Sources and methodology

Arithmetic uses standard sizing formulas. Fee rates (0.05% taker, 0.02% maker), slippage and funding values are illustrative; check your venue's schedule. Liquidation figures are simplified approximations; exchanges calculate them with their own maintenance-margin rules (see Bybit's documentation).

  1. Bybit: Liquidation process — mark price and margin modes.
  2. ChartsPod: product overview, pricing and FAQ — free terminal, venues, modules, no order placement; checked 17 Oct 2026.

This article explains research tools and workflows. It is not financial advice, does not recommend buying or selling any asset and does not predict prices. Crypto derivatives carry a risk of rapid and total loss of margin.

CHARTSPOD EDITORIAL EDITION · RESEARCH AND EDUCATION ONLY · NOT FINANCIAL ADVICE.