On BESS-Backed Trading on the Continuous Intraday Electricity Market

Abstract

Battery energy storage systems (BESS) on the continuous intraday market (IDC) often trade according to a rolling intrinsic algorithm, a myopic strategy which repeatedly opens and unwinds positions according to current prices throughout the trading session, before dispatching as delivery approaches. This paper introduces a novel trading strategy for storage, in which forecast-driven round trip trading takes priority and the BESS supplies a second route for closing out positions that the market would otherwise close at a distressed price. The agent uses price quantile forecasts to open positions on the IDC, and closes these positions closer to delivery. The market can move against these trades, and the BESS intervenes only when a position would have to be settled at a price that the forecast predicts to be highly improbable, absorbing or serving that volume physically and restoring its state of charge at ordinary prices afterwards. The position itself remains loss-making; what the asset changes is the price at which it is closed, by transferring the terminal settlement price through time. Four quantile forecasting models of increasing complexity supply the thresholds, and all strategies are backtested on realised EPEX SPOT transactions for the German market area in 2024. A 40 MWh BESS in this role earns EUR 2.06m against EUR 1.77m for a rolling intrinsic benchmark and EUR 1.37m for a perfect-foresight day-ahead benchmark, while consuming 167 instead of 365 available equivalent full cycles. Hence, the novel backstop strategy yields higher profits, while using the underlying BESS less, leaving capacity for other trading opportunities.