In this paper, we consider the problem of developing predictive models with limited data for energy assets such as electricity loads, PV power generations, etc. We specifically investigate the cases where the amount of historical data is not sufficient to effectively train the prediction model. We first develop an energy predictive model based on convolutional neural network (CNN) which is well suited to capture the interaday, daily, and weekly cyclostationary patterns, trends and seasonalities in energy assets time series. A transfer learning strategy is then proposed to address the challenge of limited training data. We demonstrate our approach on a usecase of daily electricity demand forecasting. we show practicing the transfer learning strategy on the CNN model results in significant improvement to existing forecasting methods.Various prediction models are utilized in power and energy systems such as electricity load forecasting, PV prediction, wind generation estimation, etc. Applying machine learning techniques to develop prediction models is a well-established and active research field attracting considerable researchers motivated by the new advances in computational technologies and machine learning techniques. Current algorithms require to have enough historical data of the energy assets and customers for training models. In [15], a recurrent neural network is designed to predict 24 hour ahead PV power generation.