MAE stands for Maximum Adverse Excursion, the largest loss a trade reached at its worst point before it was closed, regardless of whether the trade ultimately won or lost. For a long position, it is the lowest price hit between entry and exit; for a short, the highest.
If you buy at $100, the price dips to $95, then closes at $105, your MAE was $5 even though the trade was profitable.
The concept, introduced by John Sweeney, helps traders set smarter stop-losses by revealing how far trades typically move against them before recovering. By studying MAE across many trades, you can distinguish normal drawdown from the abnormal levels where trades rarely recover, placing stops just beyond the typical adverse move to avoid premature exits.