In recent years, Artificial Intelligence based disease diagnosis has drawn considerable attention both in academia and industry. In medical scenarios, a well-trained classifier can effectively detect a disease with sufficient features associating with medical tests. However, such features are not always readily available due to the high cost of time and money associating with medical tests. To address this, this study identifies the diagnostic strategy learning problem and proposes a novel framework consisting of three components to learn a diagnostic strategy with limited features. First, as we often encounter incomplete medical records of the patients, a sequence encoder is designed to encode any set of information in various sizes into fixed-length vectors. Second, taking the output of the encoder as the input, a feature selector based on reinforcement learning techniques is proposed to learn the best feature sequence for diagnosis. Finally, with the best feature sequence, an oracle classifier is used to give the final diagnosis. To evaluate the performance of the proposed method, experiments are conducted on nine real medical datasets. The results suggest that the proposed method is effective for providing personalized diagnostic strategies and makes better diagnoses with fewer features compared with existing methods.