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update doc for TopK-Drop #1015

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you-n-g merged 1 commit into from
Mar 29, 2022
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update doc for TopK-Drop #1015

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16 changes: 11 additions & 5 deletions docs/component/strategy.rst
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Expand Up @@ -66,18 +66,24 @@ TopkDropoutStrategy
- Adopt the ``Topk-Drop`` algorithm to calculate the target amount of each stock

.. note::
``Topk-Drop`` algorithm：
There are two parameters for the ``Topk-Drop`` algorithm：

- `Topk`: The number of stocks held
- `Drop`: The number of stocks sold on each trading day

Currently, the number of held stocks is `Topk`.
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.

In general, the number of stocks currently held is `Topk`, with the exception of being zero at the beginning period of trading.
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
: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

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