Bidding Strategy of “Renewable Energy + Energy Storage” Power Plant Considering Sharpe Ratio for Day-Ahead Market

The conventional day-ahead bidding strategy, which relies on conditional value-at-risk, necessitates the selection of a subjective risk aversion coefficient by the decision maker. However, this coefficient lacks the ability to objectively quantify both return and risk simultaneously. In contrast, the Sharpe ratio emerges as a valuable economic indicator that offers a comprehensive measure of these dual objectives. This study advocates for the integration of the Sharpe ratio as an economic metric to optimize the day-ahead bidding process. By maximizing the Sharpe ratio value, the objective function of the bidding strategy transitions towards achieving Pareto optimization of return and risk.