Large-scale access of wind power will increase the peak shaving pressure of the power grid, while the allocation of energy storage can effectively alleviate the pressure. In order to improve the economy of system operation, it is necessary to formulate a reasonable peak shaving strategy of the combined system, optimizing the load shedding power of wind turbine and the charge and discharge power of energy storage. The peak shaving problem of wind-storage combined system is transformed into an optimal control problem, and an optimal peak shaving control strategy based on Pontryagin maximum principle (PMP) is proposed to solve this problem. Since the loss model of energy storage is complex and nonlinear, the indirect shooting method is used to figure out the numerical solution of the optimal control. Afterwards, an improved peak shaving strategy is proposed to reduce the solution time through solving the minimum value of Hamilton function. Finally, an example is given to analyze the proposed optimal peak shaving strategy, and the example results verify the effectiveness of the proposed peak shaving strategy.