What should I take in consideration when planning a Design Science Research? I am planning a proposal for a thesis (on Forecasting Daily Energy Prices), in which I need to select the methodology and define its phases.

As I intend to develop new technologies and/or solve specific problems, I was investigating the most adequate, when I came across the article Design Science Research Methodology for Information Systems Research (read it here).

In that article one can read about investigation process Design Science Research (DSR) and its steps, and it seems appropriate for what I intend to do. 

Assuming that DSR will be the methodology for my investigation, what should I take in consideration when creating the plan/defining the phases?
Talk to your advisor to determine if an artefact-oriented approach is the correct approach for your research questions.
Generally, there are three general approaches to research that different research methodologies can fall into: quantitative/scientific, qualitative/descriptive, and artefact-oriented. In the first you’re dealing with numerical data that you can statistically analyse to prove or disprove hypotheses; in the second, you’re dealing with descriptive information that you can classify and analyse with techniques like coding. With artefact-oriented research, you’re designing a system that you then evaluate compared to the state of the art.
One important consideration for artefact-oriented research is that there needs to be a production of new knowledge that is separated from the artefacts you produce; if you take away all of the datasets and computer systems, if there isn’t anything left, you haven’t been doing research, you’ve been doing development.