Weekly 0DTE Playbook Review: Week of August 31, 2026

Weekly 0DTE record

During the weekly period of August 31, 2026, through September 6, 2026, a total of 13 zero days to expiration (0DTE) setups were resolved. Of these 13 setups, 8 resulted in wins, representing a 61.5% win rate. The average recorded return across all resolved setups was +16.5%, while the average tracked peak potential return reached +82.9%.

SPY, QQQ, IWM, and AMZN

The ledger tracks performance across four distinct tickers: QQQ, SPY, IWM, and AMZN.

• QQQ: This ticker saw the highest frequency of activity with 5 resolved setups. It achieved 2 wins, resulting in a 40.0% win rate. The average recorded return was negative at -23.0%, and the average tracked peak was +16.0%.
• SPY: There were 4 resolved setups for SPY, yielding 3 wins (a 75.0% win rate). The average recorded return was +58.8%, with an average tracked peak of +198.3%.
• IWM: This ticker had 3 resolved setups, resulting in 2 wins (a 66.7% win rate). The average recorded return was +21.7%, and the average tracked peak was +54.5%.
• AMZN: Only 1 setup was resolved for AMZN, which was a win (100.0% win rate). It yielded a recorded return of +30.0% and a tracked peak of +40.7%.

Note on sample sizes: The data sets for IWM (3 setups) and AMZN (1 setup) are small. These limited sample sizes are insufficient to establish a statistically significant edge or to project long-term performance.

Strategy cohorts

The resolved setups are categorized into five distinct strategy cohorts:

• Failed Breakout Breakdown Trap: This was the most frequently executed strategy with 6 resolved setups. It achieved 4 wins (a 66.7% win rate), an average recorded return of +33.3%, and an average tracked peak of +133.4%.
• Ema Pullback Continuation: This strategy had 4 resolved setups, resulting in 2 wins (a 50.0% win rate). The average recorded return was flat at +0.0%, with an average tracked peak of +43.8%.
• Opening Drive Reversal: This cohort contained only 1 resolved setup, which was a win (100.0% win rate). It achieved a recorded return of +30.0% and a tracked peak of +31.0%.
• Zero Dte Ema13 Reclaim: This cohort also had a single resolved setup (1 setup, 1 win, 100.0% win rate), which yielded a +50.0% recorded return and a +63.6% tracked peak.
• Zero Dte Ema13 Rejection: A single setup was resolved for this strategy, resulting in a loss (0.0% win rate). The recorded return was -65.0%, with a tracked peak of +7.0%.

What worked

Observed results

The SPY ticker and the Failed Breakout Breakdown Trap strategy generated the strongest positive metrics during this weekly window. SPY setups achieved a +58.8% average return, and the Failed Breakout Breakdown Trap strategy yielded a +33.3% average return across its 6 setups.

Interpretation

The large difference between SPY’s average recorded return (+58.8%) and its average tracked peak (+198.3%) indicates that while SPY setups were highly profitable, significant unrealized gains remained on the table. For the Failed Breakout Breakdown Trap, the combination of a 66.7% win rate across 6 setups and a positive average return suggests this strategy was the most consistent driver of positive performance for the week.

What needs more evidence

Observed results

QQQ setups generated a negative average return of -23.0% and a low average peak of +16.0% across 5 setups. The Ema Pullback Continuation strategy generated a 0.0% average return across 4 setups. Three strategies (Opening Drive Reversal, Zero Dte Ema13 Reclaim, and Zero Dte Ema13 Rejection) and one ticker (AMZN) had only 1 setup each. IWM had 3 setups.

Interpretation

The negative performance of QQQ over 5 setups requires further observation to determine if the underlying strategy parameters are poorly suited for QQQ's volatility or if this represents a temporary deviation. Similarly, the Ema Pullback Continuation strategy's flat performance (+0.0%) over 4 setups is inconclusive.

Crucially, the single-setup cohorts (Opening Drive Reversal, Zero Dte Ema13 Reclaim, Zero Dte Ema13 Rejection) and small-sample tickers (AMZN with 1 setup, IWM with 3 setups) provide no proof of an edge. A 100% win rate on a sample size of 1 (AMZN, Opening Drive Reversal, Ema13 Reclaim) or a 0% win rate (Ema13 Rejection) is statistically meaningless. Much larger sample sizes must be collected before these strategies or tickers can be evaluated objectively.

Next week's checklist

• Investigate QQQ underperformance: Review the 5 QQQ setups to identify if execution errors or unfavorable market structures contributed to the -23.0% average return.
• Analyze SPY exit efficiency: Examine the gap between SPY’s average recorded return (+58.8%) and average peak (+198.3%) to determine if trailing stop parameters can be optimized to capture more of the peak move.
• Gather more data on Ema Pullback Continuation: Continue tracking this strategy to resolve whether the 0.0% average return is a baseline expectancy or an anomaly.
• Maintain strict risk controls on small-sample setups: Treat the Opening Drive Reversal, Zero Dte Ema13 Reclaim, and Zero Dte Ema13 Rejection strategies as unproven. Do not scale position sizes on these cohorts or on AMZN and IWM setups until a larger historical sample is established.

Educational disclaimer: This review is for educational purposes only and does not constitute financial advice or an endorsement of any trading strategy.

Verified scorecard

Overall: 13 resolved setups, 8 wins, 61.5% win rate, +16.5% average recorded return, +82.9% average tracked peak.

By ticker

Ticker	Setups	Wins	Win rate	Avg return	Avg peak
QQQ	5	2	40.0%	-23.0%	+16.0%
SPY	4	3	75.0%	+58.8%	+198.3%
IWM	3	2	66.7%	+21.7%	+54.5%
AMZN	1	1	100.0%	+30.0%	+40.7%

By strategy cohort

Strategy	Setups	Wins	Win rate	Avg return	Avg peak
Failed Breakout Breakdown Trap	6	4	66.7%	+33.3%	+133.4%
Ema Pullback Continuation	4	2	50.0%	+0.0%	+43.8%
Opening Drive Reversal	1	1	100.0%	+30.0%	+31.0%
Zero Dte Ema13 Reclaim	1	1	100.0%	+50.0%	+63.6%
Zero Dte Ema13 Rejection	1	0	0.0%	-65.0%	+7.0%