Core terms
Maximum adverse excursion (MAE)
The furthest price moved against an open position between entry and exit, measured from the entry fill in cents per share or in R.
For a long, MAE is entry minus the lowest price while the trade was open; for a short, the highest price minus entry. A long entered at $3.40 that dipped to $3.32 before the exit has an MAE of 8 cents; with planned risk of 10 cents per share, that is 0.8R (Illustrative). Sweeney (1997) popularised MAE as a way to compare stop distances with how winning trades behaved.
Measurement choices change the number: the window (entry to exit, or a fixed window such as the first 10 minutes), data resolution (on 1-minute bars the entry minute's low may print before the fill) and odd prints no order could have traded at. Across a log, plotting MAE against final R shows whether winners often come near the stop and whether losses run beyond it.
What traders should verify
Record MAE in cents and in R for every trade, with the window and data resolution, and track the share of winners whose MAE exceeded 75% of the stop distance.
Do not conflate
Trader usage; there is no official definition. The term follows Sweeney (1997). MAE describes past trades: placing a stop just beyond historical MAE changes which trades survive and is a new rule to test. Losses beyond −1R point to slippage, halts or stops not honoured.
Primary source
Trader usage: there is no official definition, and platforms and tools may calculate it differently.