For the strategic bidding problem in electricity market, differential evolution algorithm (DE) was used to solve the model. This method was applied to the biding problem of PJM electricity market in the United States. The results show that, compared with the marginal cost method (MC) , the sequence least squares programming method (SLSQP) and the particle swarm optimization algorithm (PSO), the DE algorithm has advantages of good algorithm stability, short running time and high profit. This result can meet the solution requirements of strategic bidding problem in the PJM electricity market.