Improving Algorithmic Trading for BESS on Intraday Electricity Markets through Distributional Price Forecasts
In briefImproved Algorithmic Trading for Battery Storage in Intraday Electricity Markets Using Price Forecasts
SummaryThis paper proposes an extension to a rolling intrinsic trading policy for grid-scale battery storage operating in continuous intraday electricity markets. It adds intraday price forecasts designed for battery trading, using a new target variable derived from the limit order book to avoid full stochastic optimization. In high-frequency simulations covering 2023 and 2024, the method improves profits by up to 42% over the naive rolling intrinsic approach. The authors also analyze the relationship between forecast accuracy, stability, and financial performance.