Futures Prop Firm OffersFutures Trade Journal: MAE, MFE and Rule Compliance
Build a futures prop trading journal that records maximum adverse excursion, maximum favorable excursion, fees, slippage and account-rule compliance.
Futures Trade Journal: MAE, MFE and Rule Compliance
A useful futures prop trading journal records more than entry, exit and profit. It should capture maximum adverse excursion (MAE), maximum favorable excursion (MFE), commissions, slippage and the account rule in force at the time. These fields help separate strategy behavior from execution mistakes and rule-management errors.
CME's education material explains that futures profit or loss depends on contract size, tick size, price movement and number of contracts. CME P&L guide.
Core Trade Journal Fields
| Field | What to record | Why it matters |
|---|---|---|
| Account and program | Exact prop account | Connects the trade to the correct rules |
| Contract code | Product, month and year | Prevents expiry ambiguity |
| Direction and quantity | Long/short and contracts | Defines exposure |
| Entry and exit | Actual fills | Measures realized move |
| Intended stop | Planned invalidation | Compares plan with execution |
| MAE | Worst unrealized move | Measures pressure before exit |
| MFE | Best unrealized move | Measures available opportunity |
| Commissions and fees | Actual round-trip cost | Produces net P&L |
| Slippage | Fill difference from reference | Evaluates execution |
| Rule status | Drawdown and daily limit before/after | Tracks compliance |
MAE and MFE in Plain Language
For a long trade, MAE is the greatest move below entry while the position was open, and MFE is the greatest move above entry. For a short trade, the directions reverse.
| Metric | Long position | Short position |
|---|---|---|
| MAE | Lowest price relative to entry | Highest price relative to entry |
| MFE | Highest price relative to entry | Lowest price relative to entry |
| Realized result | Exit minus entry | Entry minus exit |
Convert price movement to ticks before converting to dollars.
Worked Hypothetical Example
Assume a futures contract has a $5 tick value. A trader buys two contracts, experiences six ticks of MAE, reaches 14 ticks of MFE and exits with eight ticks of profit. Assume $8 total round-trip fees for the two-contract position.
| Journal calculation | Formula | Result |
|---|---|---|
| MAE in dollars | 6 ticks × $5 × 2 contracts | $60 |
| MFE in dollars | 14 × $5 × 2 | $140 |
| Gross realized profit | 8 × $5 × 2 | $80 |
| Net realized profit | $80 − $8 fees | $72 |
| MFE capture rate | $80 gross ÷ $140 MFE | 57.1% |
All figures are educational inputs, not a live contract specification.
Add Prop-Account Context
A profitable trade can still create a rule problem if it violates size, timing or prohibited-behavior conditions. Record the current account state before and after the trade.
| Rule field | Before trade | After trade |
|---|---|---|
| Distance to maximum-loss threshold | ||
| Remaining daily loss allowance | ||
| Open contract quantity | ||
| Largest profit day | ||
| Total cycle profit | ||
| Consistency percentage | ||
| Session-close status |
Never reconstruct these numbers from memory when platform reports are available.
Review Exit Quality Without Hindsight
Stop Efficiency
Compare realized loss with planned stop risk and MAE. A loss greater than planned may indicate slippage, delayed execution or sizing error.
Profit Capture
Compare gross realized profit with MFE. A low capture rate is not automatically bad; a strategy may intentionally trade for asymmetric outcomes or reduce risk early.
Cost Drag
Calculate fees and slippage as a percentage of gross profit. Small-target strategies can be disproportionately affected by transaction costs.
| Hypothetical gross result | Fees and slippage | Net result | Cost drag |
|---|---|---|---|
| $25 | $10 | $15 | 40% |
| $50 | $10 | $40 | 20% |
| $100 | $10 | $90 | 10% |
| $200 | $10 | $190 | 5% |
Weekly Review Table
| Review question | Calculation or evidence |
|---|---|
| Did actual risk exceed planned risk? | Realized loss versus planned loss |
| Were stops too tight or too wide? | MAE distribution by setup |
| Was profit available but not captured? | MFE versus realized profit |
| Did costs erase the edge? | Net versus gross results |
| Did one setup drive rule pressure? | Drawdown by setup and session |
| Were any rules nearly breached? | Minimum remaining threshold |
Use a meaningful sample. One trade rarely proves that a stop or target should change.
Data Quality Checklist
- Use actual fills rather than chart estimates.
- Record the full contract expiry.
- Include all contracts in partial exits.
- Add commissions and exchange fees.
- Separate simulated platform P&L from cash payouts.
- Note data gaps or platform disconnects.
- Preserve the applicable rule version.
- Review repeated behavior, not isolated emotion.
Final Answer
A strong futures prop journal links trade mechanics to account rules. MAE shows adverse movement, MFE shows favorable movement, and net P&L shows what remained after costs. Together with drawdown and consistency fields, they create a record that can actually improve risk decisions.