Currency: SUM(MAE * quantity * point value) of all trades / # of trades

Percent: SUM(MAE * quantity / entry price) of all trades / # of traded lots

Points: SUM(MAE * quantity) of all trades / # of trades

where MAE  (max. adverse excursion) is defined as |worst price trade reached – entry price|,  quantity is defined as the number of contracts traded, and point value  is defined as the monetary conversion of each point (e.g. 100 for currency pairs).

This statistic returns a value representing the average maximum run-down your strategy experiences. This information helps you gauge how poorly your strategy’s entry conditions predict upcoming price movement directions. A low percentage here is desirable since it would imply that the price movement after you enter a position follows the direction of your intended trade.