Western Hub · walk-forward backtest ·

Can TabPFN forecast the PJM real-time minus day-ahead spread?

Spread is the real-time LMP minus the day-ahead LMP, in $/MWh. Positive means real-time cleared above day-ahead. Each hour below was forecast by a model trained only on earlier data.

Forecast vs actual spread

Hourly. Hover for the exact hour. The orange line barely tracks the blue one.

Actual spreadTabPFN forecast

Cumulative profit if you traded the sign of each forecast

$/MWh, one MW per hour, before fees and uplift. Long RT / short DA when the forecast is positive, the reverse when negative.

TabPFN Hour-of-day average baseline Always long RT

How this was built

Model: TabPFN v3.5 regressor via the TabPFN API, retrained every 3 days on the prior 75 days.
Features known the day before: hour, weekday, DA price and congestion, DA price versus its 7-day average, and spread history lagged 48 hours.
Data: PJM Data Miner 2, verified hourly day-ahead and real-time LMPs at Western Hub.
Not included: fees, virtual bid uplift, position limits, or any fundamentals such as load or wind forecasts.