What is EPF?
EPF (Electricity Price Forecasting) is a machine learning system that predicts Spanish day-ahead electricity market (OMIE) prices up to 7 days ahead, at both hourly and 15-minute resolution.
Two Forecast Products
EPF delivers two operationally distinct forecasts, aligned with OMIE market publication times:
- D+1 Day-Ahead — 24 hourly prices for tomorrow, delivered before OMIE gate closure at ~10:00 UTC
- D+2-D+7 Strategic — 144 hours of forward-looking prices, delivered at ~15:00 UTC using published D+1 actuals as model input
Key Capabilities
- 7-day horizon with hourly and 15-minute resolution
- LSTM-XGBoost hybrid (day-ahead): task-aligned LSTM encoder + 90 tabular features
- Gradient boosting ensemble (strategic): HistGradientBoosting, LightGBM, XGBoost averaged
- Confidence intervals via split conformal prediction (50% and 90% bands)
- 150+ features spanning price dynamics, temporal embeddings, weather, generation mix, and commodities
- Walk-forward backtesting with comprehensive evaluation metrics
Data Sources
The system ingests data from four sources:
| Source | Data |
|---|---|
| REE/ESIOS | 16 electricity system indicators (demand, generation, interconnections, prices) |
| Open-Meteo | Hourly weather from 5 Spanish stations (population-weighted) |
| TTF Gas | Natural gas prices (EUR/MWh) |
| EU ETS | Carbon permit prices (EUR/tCO2) |
Current Performance
| Product | Model | MAE | Bias | Window |
|---|---|---|---|---|
| D+1 Day-Ahead | LSTM-XGBoost hybrid (v10.1) | 15.73 EUR/MWh | -0.65 EUR/MWh | 150-day (incl. crisis) |
| D+2–D+7 Strategic | Ensemble (v4.3) | 19.79 EUR/MWh | -0.30 EUR/MWh | 149-day |
The day-ahead bias of -0.65 EUR/MWh is the best ever recorded — 19× better than the previous -12 EUR/MWh. The 150-day v10.1 window includes the March 2026 Iran crisis (prices 170–247 EUR/MWh), adding ~1–2 EUR/MWh to MAE versus crisis-free periods. v4.3 remains in production for strategic horizons.
See the methodology changelog for the full experiment history.