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Performance Analytics — Win Rate, MAE/MFE, Expectancy, Consistency
Sep 5, 2025
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Performance Analytics — Win Rate, MAE/MFE, Expectancy, Consistency
This article explains the core performance analytics metrics used at EdgeProp. These indicators go beyond simple profit/loss and provide a professional framework for evaluating your trading system.
Key insight. A profitable trader doesn't just rely on a high win rate. True consistency comes from positive expectancy, controlled MAE, captured MFE, and compliance with EdgeProp's consistency rules.
1) Win Rate (WR)
Percentage of trades that end in profit.
WR = (Winning Trades ÷ Total Trades) × 100%
Interpretation
- A high WR does not guarantee profitability if losses are larger than wins.
- A lower WR can still be profitable with a favorable Risk:Reward ratio (e.g., 35% WR with 1:3 RR).
Example
Out of 100 trades, 58 are winners → WR = 58%.
2) MAE & MFE (Maximum Adverse/Favorable Excursion)
MAE = the largest unrealized loss during a trade. MFE = the largest unrealized profit during a trade. These metrics help evaluate trade management and stop/target placement.
MAE — drawdown control
- Aligned with EdgeProp's 30% MAE rule per trade.
- Large average MAE = poor entries or stops placed too wide.
MFE — trade potential
- High MFE but low realized profit = exits too early.
- Useful ratio: Capture Ratio = Realized Profit ÷ MFE.
Best practice. Compare planned stop-loss with actual MAE. If MAE consistently exceeds plan, refine entries or reduce size.
3) Expectancy (average value per trade)
Measures the average profit/loss per trade, accounting for WR and average win/loss size.
E = WR × AvgWin − (1 − WR) × AvgLoss
- E > 0 = profitable over the long term (after commissions and slippage).
- Keep units consistent (ticks or $).
| Metric | Value |
|---|---|
| WR | 45% (0.45) |
| Avg Win | $220 |
| Avg Loss | $130 |
| Expectancy | E = 0.45×220 − 0.55×130 = $12.5 / trade |
4) Consistency
- Best-Day Cap (40%): Your best day must not exceed 40% of total profit since last payout. Min Profit = Best Day ÷ 0.40
- Scaling: Trade half-size until Safety Net is reached, then full-size from the next session.
- 30% MAE Rule: No single trade may exceed 30% of your profit cushion as unrealized loss.
Analytics focus. Check volatility of daily P&L, number of "windfall days", contract size stability, and stop-loss discipline.
5) Trade Examples
| Trade | Result ($) | MAE ($) | MFE ($) | Capture Ratio |
|---|---|---|---|---|
| #101 | +180 | −70 | +260 | 180 / 260 = 0.69 |
| #102 | −120 | −140 | +40 | — |
| #103 | +95 | −45 | +180 | 95 / 180 = 0.53 |
Interpretation: MAE under control, MFE shows potential, Capture Ratio > 0.5 means exits are not too early on average.
6) Quick Checklist
- ✅ Expectancy is positive after costs.
- ✅ MAE remains within EdgeProp 30% per-trade limit.
- ✅ MFE is captured effectively (high Capture Ratio).
- ✅ No single day exceeds 40% of total profit at payout.
Tip. Keep a structured trading journal: entry, exit, MAE, MFE, realized P&L
Tags:
#compliance#risk
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