Rolling intrinsic for battery valuation in day-ahead and intraday markets

Battery Energy Storage Systems (BESS) are a cornerstone of the energy transition, as their ability to shift electricity across time enables both grid stability and the integration of renewable generation. This paper investigates the profitability of different market bidding strategies for BESS in the Central European wholesale power market, focusing on the day-ahead auction and intraday trading at EPEX Spot. We employ the rolling intrinsic approach as a realistic trading strategy for continuous intraday markets, explicitly incorporating bid--ask spreads to account for liquidity constraints. Our analysis shows that multi-market bidding strategies consistently outperform single-market participation. Furthermore, we demonstrate that maximum cycle limits significantly affect profitability, indicating that more flexible strategies which relax daily cycling constraints while respecting annual limits can unlock additional value.