AU background: Max's life was pretty much the same up until the early months of 1944, when he fell ill and was thus prevented from continuing to work as a sonderkommando. Instead, he was shunted into a Doomsday Project (notably not Project Ragna Rok) trying to find a way to use Jews as fuel for occult weapons. It sort of worked, as Max became able to produce and conduct massive amounts of electricity, as well as other electromagnetic phenomena. However, in traditional victim-of-an-evil-experiment fashion, on October 7 Max blew up the section of the camp where he was being held-an explosion blamed on the rebelling sonderkommandos. Having killed all the doctors and guards around him, Max was one of the lucky few who managed to escape that night (though presumably Magda had died a couple months earlier with the rest of the gypsy inmates).
Weak and terrified of his powers, Max ran back to his hometown. He didn't have a plan, but he hoped that he could find someone to help him there. By this time, the war had ended, and he arrived just as war trials were beginning in nearby Nuremberg. Max attended some of the trials, but was furious that only half the accused Nazi officials were sentenced to death. Having gained some measure of skill with his powers, he decided to hunt the ones who had been acquitted, and the ones who had never made it to trial.
Soon, the corpses of ex-Nazi officers began turning up in Germany. Every body was found with blood coating its skin and surroundings, but none left in the bodies themselves. Upon hearing about the murders, Professor Bruttenholm of the Bureau of Paranormal Research and Defense sent out a team of U.S. agents to deal with what he assumed was a vampiric threat, possibly connected to the bomb the BPRD. narrowly prevented from going off the year before. But of course, the culprit wasn't a vampire, but rather Max, who had been removing the Nazis' blood because it was the most horrible way he could think to kill them, and they deserved nothing less-an AU of B.P.RD.: 1947, for anyone out there who knows Hellboy chronology.
Rather than being put on trial for his crimes, Max was taken into the BPRD.'s custody, where he finally got enough of an education to understand what his powers really were. He never became a field agent because he was considered too volatile, likely to ignore the particulars of his mission to indulge his personal fixation with revenging himself on the people responsible for his family's death. Brilliant but not having much of an interest in the supernatural, Max instead became the bureau's leading expert on what he half-jokingly refers to as “real science,” though much of his research was aimed at better understanding his powers. He was granted American citizenship in '53.
When Tom Manning took over for Bruttenholm as director of the BRPD in 1956, Max started to get fed up with his position as a noncombatant. Manning, not a fan of “enhanced talent agents” under the best of circumstances, didn't trust Max as far as he could throw him, and Max, used to Bruttenholm's more lenient, fatherly leadership, chafed under Manning. In late 1958, Max requested a transfer to the CIA, which Manning granted him, probably just so he wouldn't have to deal with him any longer.
With the CIA, Max fulfilled pretty much the same role he would have in X-Men canon, bringing Nazi war criminals to Israel for trial. Recently, he heard that Hans Richter of the SS Waffen was hiding somewhere in Colombia, so he took a train down from Panama...
It's worth noting that Max disappears from the Hellboy universe in 1959, which means that, for instance, he never meets Abe or Liz (the latter of whom hasn't even been born yet!), and most of the well-known storylines haven't happened yet. Also, while he has an exceptional scientific mind, his knowledge is limited to things that existed back then.
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