Trading on short-term path forecasts of intraday electricity prices

We introduce a profitable trading strategy that can support decision-making in continuous intraday markets for electricity. It utilizes a novel forecasting framework, which generates prediction bands from a pool of path forecasts or approximates them using probabilistic price forecasts. The prediction bands then define a time-dependent price level that, when exceeded, indicates a good trading opportunity. Results for the German intraday market show that, in terms of the energy score, our path forecasts beat a well performing similar-day benchmark by over 25%. Moreover, they provide empirical evidence that the increased computational burden induced by generating realistic price paths is offset by higher trading profits. Still, the proposed approximate method offers a reasonable trade-off - it does not require generating path forecasts and yields only slightly lower profits.