Weekly 0DTE Playbook Review: Week of September 21, 2026

Weekly 0DTE record

During the week of September 21, 2026, through September 27, 2026, a total of 10 resolved trading setups were recorded in the Whalor 0DTE playbook. The overall verified results for this weekly period are:

• Total Resolved Setups: 10
• Wins: 8
• Win Rate: 80.0%
• Average Recorded Return: +62.0%
• Average Tracked Peak: +173.5%

Statistical Note: A total of 10 resolved setups constitutes an extremely small sample size. These results represent a descriptive summary of performance over a single week. They do not provide statistical proof of a long-term trading edge, and these performance metrics should not be projected into future periods.

SPY, QQQ, IWM, and AMZN

The weekly performance across the four traded tickers is detailed below. Each ticker represents a small sample size:

• IWM (4 setups): 3 wins, 1 loss (75.0% win rate). Average return: +58.8%. Average tracked peak: +148.8%.
• SPY (3 setups): 3 wins, 0 losses (100.0% win rate). Average return: +100.0%. Average tracked peak: +180.0%.
• QQQ (2 setups): 2 wins, 0 losses (100.0% win rate). Average return: +75.0%. Average tracked peak: +300.1%.
• AMZN (1 setup): 0 wins, 1 loss (0.0% win rate). Average return: -65.0%. Average tracked peak: -0.6%.

Because the sample sizes for each individual ticker are so limited, these metrics are highly susceptible to variance. The 100.0% win rates for SPY and QQQ, and the 0.0% win rate for AMZN, are products of small-sample volatility rather than established performance trends.

Strategy cohorts

The 10 resolved setups were distributed across seven distinct strategy cohorts. Every cohort represents a small sample of three or fewer setups:

• 15m 200ma Bounce Rejection (3 setups): 3 wins (100.0% win rate), +100.0% average return, +172.4% average peak.
• Zero Dte Ema13 Bounce (2 setups): 2 wins (100.0% win rate), +75.0% average return, +300.1% average peak.
• Opening Drive Reversal (1 setup): 1 win (100.0% win rate), +100.0% average return, +217.0% average peak.
• Spy Opening Range Retest Confirmation (1 setup): 1 win (100.0% win rate), +100.0% average return, +198.6% average peak.
• Zero Dte Ema48 Reclaim (1 setup): 1 win (100.0% win rate), +100.0% average return, +177.8% average peak.
• Opening Range Breakout Retest (1 setup): 0 wins (0.0% win rate), -65.0% average return, -0.6% average peak.
• Zero Dte Ema50 Rejection (1 setup): 0 wins (0.0% win rate), -65.0% average return, +24.7% average peak.

What worked

Observed Results: Five strategy cohorts achieved a 100.0% win rate in their respective small samples: 15m 200ma Bounce Rejection, Zero Dte Ema13 Bounce, Opening Drive Reversal, Spy Opening Range Retest Confirmation, and Zero Dte Ema48 Reclaim. On an asset basis, SPY and QQQ setups achieved 100.0% win rates. The highest average tracked peak occurred in the Zero Dte Ema13 Bounce cohort at +300.1%, while the overall average tracked peak across all 10 setups was +173.5%.

Interpretation: In this specific, limited sample, moving average-based setups (such as the 15m 200ma Bounce Rejection and Zero Dte Ema13 Bounce) aligned with highly favorable outcomes. The substantial gap between the overall average recorded return (+62.0%) and the average tracked peak (+173.5%) indicates that the executed setups frequently moved significantly further in the trade's favor after the recorded exit. This suggests that while the entry criteria aligned with positive price movement, there may be an opportunity to optimize exit execution to capture more of the available peak move, though more data is required to confirm this.

What needs more evidence

Observed Results: The Opening Range Breakout Retest strategy and the Zero Dte Ema50 Rejection strategy both recorded a 0.0% win rate and an average return of -65.0% in their single-setup samples. From an asset perspective, AMZN also recorded a 0.0% win rate and a -65.0% return. The average tracked peak for the Opening Range Breakout Retest and AMZN setups remained negative at -0.6%.

Interpretation: With only a single setup recorded for AMZN, Opening Range Breakout Retest, and Zero Dte Ema50 Rejection, there is insufficient evidence to draw any conclusions regarding their viability. It is impossible to determine whether the -65.0% returns reflect an ineffective strategy, poor asset selection, or simply standard statistical noise. Similarly, the 100.0% win rates observed in five of the strategy cohorts are highly likely to regress as more setups are resolved. To establish whether any of these strategies possess a genuine mathematical edge, a significantly larger volume of resolved setups must be collected across various market conditions.

Next week's checklist

• Expand the Database: Continue logging all resolved setups systematically. Prioritize gathering more data points for single-setup cohorts to transition them out of the micro-sample stage.
• Monitor Risk Parameters: Ensure strict risk management remains in place, as the losing setups in this week's sample demonstrated a consistent realized loss of -65.0%.
• Analyze Exit Efficiency: Track the delta between recorded returns and peak returns across a larger sample to determine if a multi-tranche exit strategy or trailing stop adjustment is statistically justified.
• Maintain Sample-Size Awareness: Treat all high win-rate metrics from this week as preliminary observations rather than proof of strategy performance.
• Educational Disclaimer: Note that this playbook review is strictly for educational purposes and does not constitute financial or investment advice.

Verified scorecard

Overall: 10 resolved setups, 8 wins, 80.0% win rate, +62.0% average recorded return, +173.5% average tracked peak.

By ticker

Ticker	Setups	Wins	Win rate	Avg return	Avg peak
IWM	4	3	75.0%	+58.8%	+148.8%
SPY	3	3	100.0%	+100.0%	+180.0%
QQQ	2	2	100.0%	+75.0%	+300.1%
AMZN	1	0	0.0%	-65.0%	-0.6%

By strategy cohort

Strategy	Setups	Wins	Win rate	Avg return	Avg peak
15m 200ma Bounce Rejection	3	3	100.0%	+100.0%	+172.4%
Zero Dte Ema13 Bounce	2	2	100.0%	+75.0%	+300.1%
Opening Drive Reversal	1	1	100.0%	+100.0%	+217.0%
Opening Range Breakout Retest	1	0	0.0%	-65.0%	-0.6%
Spy Opening Range Retest Confirmation	1	1	100.0%	+100.0%	+198.6%
Zero Dte Ema48 Reclaim	1	1	100.0%	+100.0%	+177.8%
Zero Dte Ema50 Rejection	1	0	0.0%	-65.0%	+24.7%