Trading value
A deliberately simple rule scored on settled outturn: when the forecast sits more than the chosen edge above the market index price, hold a 1 MWh imbalance long for that period; when it sits below, hold 1 MWh short; otherwise stay flat. P&L is £ per MWh per period, before any costs or volume limits.
Total P&L
£71.62
94 periods traded
Per traded period
£0.76
£/MWh average
Hit rate
49%
profitable periods
Capture of perfect
1%
perfect foresight £5,091.25
Cumulative P&L (£/MWh)
Spike alerts (above £150/MWh)
Periods flagged
166
Actual spikes
165
Precision
99%
Recall
100%
Probability calibration
Where the edge threshold pays
| Edge | Traded | Total P&L | Hit rate |
|---|---|---|---|
| £0 | 166 | £147.23 | 46% |
| £2.5 | 124 | £280.43 | 49% |
| £5 | 94 | £71.62 | 49% |
| £10 | 48 | £6 | 50% |
| £20 | 4 | £40.04 | 75% |
| £35 | 1 | -£7.79 | 0% |
Always holding 1 MWh long over the same window would have made £2,154.45, so anything close to that is luck rather than skill.
Simulated on 166 settled periods. Illustrative only — it ignores position limits, imbalance exposure rules and the fact that acting in size changes the outcome.