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update doc for TopK-Drop (#1015)

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updated doc for TopK-Drop.
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Chao Wang
2022-03-28 21:18:37 -04:00
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docs/component/strategy.rst
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@@ -66,18 +66,24 @@ TopkDropoutStrategy
- Adopt the ``Topk-Drop`` algorithm to calculate the target amount of each stock - Adopt the ``Topk-Drop`` algorithm to calculate the target amount of each stock
.. note:: .. note::
``Topk-Drop`` algorithm： There are two parameters for the ``Topk-Drop`` algorithm：
- `Topk`: The number of stocks held - `Topk`: The number of stocks held
- `Drop`: The number of stocks sold on each trading day - `Drop`: The number of stocks sold on each trading day
Currently, the number of held stocks is `Topk`. In general, the number of stocks currently held is `Topk`, with the exception of being zero at the beginning period of trading.
On each trading day, the `Drop` number of held stocks with the worst `prediction score` will be sold, and the same number of unheld stocks with the best `prediction score` will be bought. For each trading day, let $d$ be the number of the instruments currently held and with a rank $\gt K$ when ranked by the prediction scores from high to low.
Then `d` number of stocks currently held with the worst `prediction score` will be sold, and the same number of unheld stocks with the best `prediction score` will be bought.
In general, $d=$`Drop`, especially when the pool of the candidate instruments is large, $K$ is large, and `Drop` is small.
In most cases, ``TopkDrop`` algorithm sells and buys `Drop` stocks every trading day, which yields a turnover rate of 2$\times$`Drop`/$K$.
The following images illustrate a typical scenario.
.. image:: ../_static/img/topk_drop.png .. image:: ../_static/img/topk_drop.png
:alt: Topk-Drop :alt: Topk-Drop
``TopkDrop`` algorithm sells `Drop` stocks every trading day, which guarantees a fixed turnover rate.
- Generate the order list from the target amount - Generate the order list from the target amount