Profit Captured (MFE Capture)
Average share of the favorable move actually kept on winning trades = mean(realized / MFE), clipped to 0–100%. Low = exiting too early, leaving profit on the table. (a.k.a. MFE Capture / Exit Efficiency)
- Computed from
- Trades list
- Scope
- Single report
- Range
- 0 – 100%
- Direction
- Higher is better
Profit Captured (MFE Capture) measures exit quality: of the profit each trade put on the table at its best moment, how much you actually kept. That peak is called the MFE — Maximum Favorable Excursion, a fancy name for how far in your favor the trade ever travelled before you closed it. Profit Captured is the share of that peak you banked — 100% means you exited right at the high point, low means you let winners turn back around.
There's no universally "good" number: it depends entirely on your style. A scalper (trades for many small, fast profits) should capture most of the peak; a trend-follower (holds for the occasional big move) should give a lot of it back — that's the price of holding for the rare huge winner. Read it against what your strategy is supposed to do.
How it's calculated
Every trade traces a path while open (see MAE / MFE). MFE is the peak of that path — the most profit the trade ever showed. Profit Captured asks how much of that peak survived to the exit.
Profit Captured = average ( exit result / MFE ) over winners
- MFE
- peak unrealized profit while the trade was open (the high-water mark)
- exit result
- the net profit you actually banked at close
What it tells you
These bands assume a system whose edge is in consistent winners — scalping, mean-reversion (betting price snaps back to an average), fixed take-profit targets. For trend/breakout systems built to let winners run and catch the rare large move, low capture (often under 40%) is normal and correct — giving back from the peak is the price of holding for the tail. Read the verdict against your style, not the band alone.
| Value | Reading | Notes |
|---|---|---|
| < 40% | Low — depends on style | For mean-reversion/scalping: poor — you give back most of the profit your trades offer (round-tripping winners or bailing on every wobble). For trend-following: expected and fine. |
| 40–60% | Mediocre | Roughly half the available profit slips away. Room to tighten exit discipline — unless you let winners run by design. |
| 60–80% | Good | You keep most of what each winner offers — solid exit timing for a body-edge system. |
| > 80% | High — check the trade-off | Near-peak exits. Good for a scalper; but if you believe you "let winners run," this is a red flag you are actually cutting your tail with tight take-profits. |
You cannot both let a winner run and capture near its peak — they are opposed. Holding through pullbacks to catch a bigger move guarantees you give back from the interim peaks. High capture is the signature of tight, fixed targets; low capture is the signature of trailing stops (an exit that follows the price up and only closes you out once it pulls back a set amount). So the metric is largely a readout of which exit rule you run — and the right answer depends on whether your edge lives in the tail (rare huge winners → low capture is fine) or the body (many small consistent winners → high capture is needed).
Worked example
A trade reaches +$200 at its best (MFE = $200) but you exit at +$120. Its Profit Captured is 120 / 200 = 60%. Average that ratio across every winner and you might land at 65% — meaning, on the whole book, you keep about two-thirds of the peak profit your winners offer.
How to act on it
Low capture only signals a problem if your edge is meant to be in the body. Diagnose it against your intent:
- Low + discretionary / mean-reversion intent — you're panic-exiting on pullbacks or snatching profits early. A real behavioural defect: fix your exits.
- Low + trend-following by design — expected and healthy. Do nothing.
- High + you believe you "let winners run" — a red flag: you're actually cutting your tail with tight take-profits (an order that auto-closes the trade at a set profit). You're capping the rare big move your edge depends on.
The lever underneath is your exit machinery: fixed targets push capture up; trailing stops pull it down. So this number diagnoses whether your exit rule matches your edge.
Pitfalls
- 100% is neither realistic nor desirable. You can't exit at the exact peak every time, and chasing it with tight take-profits cuts winners short — which hurts expectancy and payoff ratio. A healthy reading is partial, and the right level depends on your style.
- It's an average. One huge winner that round-tripped back to a small gain can tank the figure; one disciplined exit can flatter it. Look at the spread, not just the mean.
- It says nothing about size. Capturing 90% of a tiny MFE is worth less than capturing 60% of a big one. Pair it with the dollar MFE and expectancy.
- Winners only. The loss-side mirror is Loss Taken (MAE capture) — read both together.
- Reconstructed from M1. MFE comes from minute-bar reconstruction of the intraday path; gaps or missing symbols make it unreliable.
Profit Captured vs Loss Taken
Profit Captured grades your exits on winners — did you keep the gain the trade offered? Loss Taken (MAE) grades your stops on the downside — how much of the adverse move you actually ate as a loss. Together they describe your exit-and-stop discipline:
- High Profit Captured + low Loss Taken = excellent trade management: you keep most of your upside and surrender little of the downside.
- High Profit Captured + high Loss Taken = the classic disposition effect — you snatch profits early but sit in losers, banking small wins while letting losses run. The single most common destructive pattern, and these two metrics together expose it.