Integrating the erratic production of renewable energy into the electricity grid poses numerous challenges. One approach to stabilising market prices and reducing energy losses due to curtailments is the deployment of batteries. Efficient electricity arbitrage is crucial to make investments in storage systems financially viable; trading solutions to achieve this rely on price forecasting techniques. This study delves into the application of Conformal Prediction (CP) techniques, including Ensemble Batch Prediction Intervals (EnbPI) and Sequential Predictive Conformal Inference for Time Series (SPCI), for generating probabilistic forecasts in the Irish electricity market. Recent advancements in CP have addressed temporal considerations inherent in time series forecasting, eliminating the need for exchangeability assumptions. Our study demonstrates that despite potential efficiency trade-offs, CP methods consistently yield precise and reliable prediction intervals, ensuring comprehensive coverage. We assess the impact of CP on the financial results of a simulated trading algorithm. Monetary outcomes achieved with EnbPI and SPCI outperform those of both split CP and traditional quantile regression models, highlighting the practical superiority of CP in electricity price forecasting.