From 41a5778684b88700e89f7ba5f4a672f5f73d4365 Mon Sep 17 00:00:00 2001 From: you-n-g Date: Sat, 25 Dec 2021 15:24:58 +0800 Subject: [PATCH] Update strategy.rst Add docs for the prediction score --- docs/component/strategy.rst | 5 ++++- 1 file changed, 4 insertions(+), 1 deletion(-) diff --git a/docs/component/strategy.rst b/docs/component/strategy.rst index f2617a0e0..6b24e4a88 100644 --- a/docs/component/strategy.rst +++ b/docs/component/strategy.rst @@ -112,6 +112,9 @@ A prediction sample is shown as follows. ``Forecast Model`` module can make predictions, please refer to `Forecast Model: Model Training & Prediction `_. +Normally, the prediction score is the output of the models. But some models are learned from a label with a different scale. So the scale of the prediction score may be different from your expectation(e.g. the return of instruments). + +Qlib didn't add a step to scale the prediction score to a unified scale. Because not every trading strategy cares about the scale(e.g. TopkDropoutStrategy only cares about the order). So the strategy is responsible for rescaling the prediction score(e.g. some portfolio-optimization-based strategies may require a meaningful scale). Running backtest ----------------- @@ -283,4 +286,4 @@ The backtest results are in the following form: Reference =================== -To know more about the `prediction score` `pred_score` output by ``Forecast Model``, please refer to `Forecast Model: Model Training & Prediction `_. \ No newline at end of file +To know more about the `prediction score` `pred_score` output by ``Forecast Model``, please refer to `Forecast Model: Model Training & Prediction `_.