This paper presents different kinds of arbitrage opportunities in deregulated power markets such as arbitrage between energy and ancillary service, arbitrage of bilateral contracts, and arbitrage between gas and power. STRATEGIST is a C++ software package that incorporates a probabilistic approach for the evaluation of composite reliability of generation, load forecast and fuel prices using different probability distributions. STRATEGIST analyses the risk and arbitrage opportunities in a deregulated power market. This package is to be used by GENCOs to maximize their profit as well as to hedge the GENCOs to against crucial loss of profit. A typical scenario for applying this package is a GENCO which tries to supply its native load and trade bilateral transactions and would be interested in determining the risk associated with different alternatives. STRATEGIST is designed based on a comprehensive analysis of various risks in a portfolio.

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