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Feature Iteration Run #1000: zz_sylvain

Status: completed | Started: 2026-07-26 09:18:48 | Ended: 2026-07-26 09:30:14

⭐ Best Accepted Iteration

Iteration 14: k_momentum_pct_change - i_macd(k_close, 12, 26, 9)

baseline PF: 1.947 → modified PF: 2.449 | Cohen's d: 0.254 | p-value: 0.191

📊 Iterations

Iter Y Label Model Warm Proxy Parent FS Feature DSL DSL Valid Baseline PF Modified PF Scalar Score t-stat p-value Cohen's d Result Reason
1 C8 gradient_boosting — — #7 k_loop_iter_1_7a129b (k_momentum_pct_change - o_div_amplitud… ✅ 1.947 0.775 -3.6248 0.000 0.278 0.577 ❌ REJECT normalized_score -0.4195 <= 0.0, sharpe_delta -26.7167 < -0.3, hypothesis test not confirmed, constraints: ['sharpe_ratio >= 1.0: got -7.5544']
2 C8 gradient_boosting — — #7 k_iter2_k_high_pct_change_price_position_dist_to_high k_high.pct_change(12) * (1 - price_posi… ❌ 0.000 0.000 0.0000 0.000 1.000 0.000 ❌ REJECT quality_gate: C8 leakage: ['dist_to_high']
3 C8 gradient_boosting — — #7 k_loop_iter_3_011c57 o_div_amplitude_48 / (1 + atr_norm) ✅ 1.947 1.085 -0.4789 0.000 0.463 0.243 ❌ REJECT normalized_score -0.2581 <= 0.0, sharpe_delta -16.8215 < -0.3, hypothesis test not confirmed
4 C8 gradient_boosting — — #7 k_iter4_k_high_pct_change k_high.pct_change(12) ❌ 0.000 0.000 0.0000 0.000 1.000 0.000 ❌ REJECT quality_gate: canonical duplicate: k_high.pct_change
5 C8 gradient_boosting — — #7 k_iter5_k_momentum_pct_chang_atr_norm k_momentum_pct_change - atr_norm ❌ 0.000 0.000 0.0000 0.000 1.000 0.000 ❌ REJECT quality_gate: constant feature (variance < 1e-12)
6 C8 gradient_boosting — — #7 k_iter6_abs_k_volume_rolling_mean abs(o_div_binary_12) * k_volume.rolling… ❌ 0.000 0.000 0.0000 0.000 1.000 0.000 ❌ REJECT safe_eval DSL: 變數未定義: abs
7 C8 gradient_boosting — — #7 k_iter7_price_position_atr_norm o_div_amplitude_12 * (1 - price_positio… ❌ 0.000 0.000 0.0000 0.000 1.000 0.000 ❌ REJECT quality_gate: canonical duplicate: o_div_amplitude_12 * (1 - price_position) / (1 + atr_norm)
8 C8 gradient_boosting — — #7 k_iter8_pct_change_atr_norm_vol_ratio obv_rebased.pct_change(12) / (1 + atr_n… ❌ 0.000 0.000 0.0000 0.000 1.000 0.000 ❌ REJECT safe_eval DSL produced inf values; likely division by zero
9 C8 gradient_boosting — — #7 k_iter9_atr_norm o_div_amplitude_48 / (1 + atr_norm) ❌ 0.000 0.000 0.0000 0.000 1.000 0.000 ❌ REJECT quality_gate: canonical duplicate: o_div_amplitude_48 / (1 + atr_norm)
10 C8 gradient_boosting — — #7 k_loop_iter_10_d1f1b3 i_macd(k_close, 12, 26, 9) / (1 + atr_n… ✅ 1.947 1.895 -0.1089 0.000 0.337 0.330 ❌ REJECT normalized_score -0.0230 <= 0.0, sharpe_delta -0.9574 < -0.3, hypothesis test not confirmed
11 C8 gradient_boosting — — #7 k_iter11_pct_change_atr_norm_price_position obv_rebased.pct_change(12) / (1 + atr_n… ❌ 0.000 0.000 0.0000 0.000 1.000 0.000 ❌ REJECT safe_eval DSL produced inf values; likely division by zero
12 C8 gradient_boosting — — #7 k_iter12_pct_change_vol_ratio obv_rebased.pct_change(12) * vol_ratio ❌ 0.000 0.000 0.0000 0.000 1.000 0.000 ❌ REJECT safe_eval DSL produced inf values; likely division by zero
13 C8 gradient_boosting — — #7 k_loop_iter_13_4e41bb o_div_amplitude_12 / (1 + atr_norm) ✅ 1.947 1.085 -0.4789 0.000 0.463 0.243 ❌ REJECT normalized_score -0.2581 <= 0.0, sharpe_delta -16.8215 < -0.3, hypothesis test not confirmed
14 C8 gradient_boosting — — #7 k_loop_iter_14_aabd65 k_momentum_pct_change - i_macd(k_close,… ✅ 1.947 2.449 1.0740 0.000 0.191 0.254 ✅ ACCEPT accepted
15 C8 gradient_boosting — — #1292 k_iter15_i_rsi_k_close_price_position i_rsi(k_close, 14) * (1 - price_positio… ❌ 0.000 0.000 0.0000 0.000 1.000 0.000 ❌ REJECT quality_gate: NaN ratio 1.000 exceeds 0.3

📄 Report Markdown

# AUTOLOOP: zz_sylvain (15 iterations)

> **Phase**: Y4.7 Option B (DSL → Python code → FeatureSet candidate)
> **Target indicator**: zz_sylvain
> **Base feature_set_id**: 1292
> **Claim**: (default) Propose a new k_* feature that improves risk-adjusted returns
> **Objective mode**: scalarize
> **Metrics**: ['profit_factor', 'sharpe_ratio', 'win_rate', 'max_drawdown', 'test_accuracy']
> **Total duration**: 685.34s
> **Total accepted**: 1
> **Total rejected**: 14

## Iterations 詳情

### Iteration 1
- DSL: `(k_momentum_pct_change - o_div_amplitude_12) / (1 + atr_norm)` (feature=k_loop_iter_1_7a129b)
- DSL valid: True
- FeatureSet candidate id: 1288
- baseline PF: 1.947 → modified PF: 0.775
- t_stat: 0.000, p_value: 0.278, cohens_d: 0.577
- scalar_score: -3.6248
- accepted: False, reason: normalized_score -0.4195 <= 0.0, sharpe_delta -26.7167 < -0.3, hypothesis test not confirmed, constraints: ['sharpe_ratio >= 1.0: got -7.5544']

**Metrics summary:**
  - profit_factor: baseline=1.947, modified=0.775, diff=-1.172
  - sharpe_ratio: baseline=19.162, modified=-7.554, diff=-26.717
  - win_rate: baseline=0.600, modified=0.424, diff=-0.176
  - max_drawdown: baseline=0.056, modified=0.131, diff=0.075
  - test_accuracy: baseline=0.992, modified=0.992, diff=-0.001

### Iteration 2
- DSL: `k_high.pct_change(12) * (1 - price_position) * (1 - dist_to_high)` (feature=k_iter2_k_high_pct_change_price_position_dist_to_high)
- DSL valid: False
- FeatureSet candidate id: None
- baseline PF: 0.000 → modified PF: 0.000
- t_stat: 0.000, p_value: 1.000, cohens_d: 0.000
- scalar_score: 0.0000
- accepted: False, reason: quality_gate: C8 leakage: ['dist_to_high']

### Iteration 3
- DSL: `o_div_amplitude_48 / (1 + atr_norm)` (feature=k_loop_iter_3_011c57)
- DSL valid: True
- FeatureSet candidate id: 1289
- baseline PF: 1.947 → modified PF: 1.085
- t_stat: 0.000, p_value: 0.463, cohens_d: 0.243
- scalar_score: -0.4789
- accepted: False, reason: normalized_score -0.2581 <= 0.0, sharpe_delta -16.8215 < -0.3, hypothesis test not confirmed

**Metrics summary:**
  - profit_factor: baseline=1.947, modified=1.085, diff=-0.862
  - sharpe_ratio: baseline=19.162, modified=2.341, diff=-16.821
  - win_rate: baseline=0.600, modified=0.500, diff=-0.100
  - max_drawdown: baseline=0.056, modified=0.187, diff=0.131
  - test_accuracy: baseline=0.992, modified=0.992, diff=-0.000

### Iteration 4
- DSL: `k_high.pct_change(12)` (feature=k_iter4_k_high_pct_change)
- DSL valid: False
- FeatureSet candidate id: None
- baseline PF: 0.000 → modified PF: 0.000
- t_stat: 0.000, p_value: 1.000, cohens_d: 0.000
- scalar_score: 0.0000
- accepted: False, reason: quality_gate: canonical duplicate: k_high.pct_change

### Iteration 5
- DSL: `k_momentum_pct_change - atr_norm` (feature=k_iter5_k_momentum_pct_chang_atr_norm)
- DSL valid: False
- FeatureSet candidate id: None
- baseline PF: 0.000 → modified PF: 0.000
- t_stat: 0.000, p_value: 1.000, cohens_d: 0.000
- scalar_score: 0.0000
- accepted: False, reason: quality_gate: constant feature (variance < 1e-12)

### Iteration 6
- DSL: `abs(o_div_binary_12) * k_volume.rolling.mean / (1 + atr_norm)` (feature=k_iter6_abs_k_volume_rolling_mean)
- DSL valid: False
- FeatureSet candidate id: None
- baseline PF: 0.000 → modified PF: 0.000
- t_stat: 0.000, p_value: 1.000, cohens_d: 0.000
- scalar_score: 0.0000
- accepted: False, reason: safe_eval DSL: 變數未定義: abs

### Iteration 7
- DSL: `o_div_amplitude_12 * (1 - price_position) / (1 + atr_norm)` (feature=k_iter7_price_position_atr_norm)
- DSL valid: False
- FeatureSet candidate id: None
- baseline PF: 0.000 → modified PF: 0.000
- t_stat: 0.000, p_value: 1.000, cohens_d: 0.000
- scalar_score: 0.0000
- accepted: False, reason: quality_gate: canonical duplicate: o_div_amplitude_12 * (1 - price_position) / (1 + atr_norm)

### Iteration 8
- DSL: `obv_rebased.pct_change(12) / (1 + atr_norm) * vol_ratio` (feature=k_iter8_pct_change_atr_norm_vol_ratio)
- DSL valid: False
- FeatureSet candidate id: None
- baseline PF: 0.000 → modified PF: 0.000
- t_stat: 0.000, p_value: 1.000, cohens_d: 0.000
- scalar_score: 0.0000
- accepted: False, reason: safe_eval DSL produced inf values; likely division by zero

### Iteration 9
- DSL: `o_div_amplitude_48 / (1 + atr_norm)` (feature=k_iter9_atr_norm)
- DSL valid: False
- FeatureSet candidate id: None
- baseline PF: 0.000 → modified PF: 0.000
- t_stat: 0.000, p_value: 1.000, cohens_d: 0.000
- scalar_score: 0.0000
- accepted: False, reason: quality_gate: canonical duplicate: o_div_amplitude_48 / (1 + atr_norm)

### Iteration 10
- DSL: `i_macd(k_close, 12, 26, 9) / (1 + atr_norm)` (feature=k_loop_iter_10_d1f1b3)
- DSL valid: True
- FeatureSet candidate id: 1290
- baseline PF: 1.947 → modified PF: 1.895
- t_stat: 0.000, p_value: 0.337, cohens_d: 0.330
- scalar_score: -0.1089
- accepted: False, reason: normalized_score -0.0230 <= 0.0, sharpe_delta -0.9574 < -0.3, hypothesis test not confirmed

**Metrics summary:**
  - profit_factor: baseline=1.947, modified=1.895, diff=-0.053
  - sharpe_ratio: baseline=19.162, modified=18.205, diff=-0.957
  - win_rate: baseline=0.600, modified=0.562, diff=-0.037
  - max_drawdown: baseline=0.056, modified=0.056, diff=0.000
  - test_accuracy: baseline=0.992, modified=0.992, diff=-0.000

### Iteration 11
- DSL: `obv_rebased.pct_change(12) / (1 + atr_norm) * (1 - price_position)` (feature=k_iter11_pct_change_atr_norm_price_position)
- DSL valid: False
- FeatureSet candidate id: None
- baseline PF: 0.000 → modified PF: 0.000
- t_stat: 0.000, p_value: 1.000, cohens_d: 0.000
- scalar_score: 0.0000
- accepted: False, reason: safe_eval DSL produced inf values; likely division by zero

### Iteration 12
- DSL: `obv_rebased.pct_change(12) * vol_ratio` (feature=k_iter12_pct_change_vol_ratio)
- DSL valid: False
- FeatureSet candidate id: None
- baseline PF: 0.000 → modified PF: 0.000
- t_stat: 0.000, p_value: 1.000, cohens_d: 0.000
- scalar_score: 0.0000
- accepted: False, reason: safe_eval DSL produced inf values; likely division by zero

### Iteration 13
- DSL: `o_div_amplitude_12 / (1 + atr_norm)` (feature=k_loop_iter_13_4e41bb)
- DSL valid: True
- FeatureSet candidate id: 1291
- baseline PF: 1.947 → modified PF: 1.085
- t_stat: 0.000, p_value: 0.463, cohens_d: 0.243
- scalar_score: -0.4789
- accepted: False, reason: normalized_score -0.2581 <= 0.0, sharpe_delta -16.8215 < -0.3, hypothesis test not confirmed

**Metrics summary:**
  - profit_factor: baseline=1.947, modified=1.085, diff=-0.862
  - sharpe_ratio: baseline=19.162, modified=2.341, diff=-16.821
  - win_rate: baseline=0.600, modified=0.500, diff=-0.100
  - max_drawdown: baseline=0.056, modified=0.187, diff=0.131
  - test_accuracy: baseline=0.992, modified=0.992, diff=-0.000

### Iteration 14
- DSL: `k_momentum_pct_change - i_macd(k_close, 12, 26, 9)` (feature=k_loop_iter_14_aabd65)
- DSL valid: True
- FeatureSet candidate id: 1292
- baseline PF: 1.947 → modified PF: 2.449
- t_stat: 0.000, p_value: 0.191, cohens_d: 0.254
- scalar_score: 1.0740
- accepted: True, reason: accepted

**Metrics summary:**
  - profit_factor: baseline=1.947, modified=2.449, diff=0.501
  - sharpe_ratio: baseline=19.162, modified=24.736, diff=5.574
  - win_rate: baseline=0.600, modified=0.576, diff=-0.024
  - max_drawdown: baseline=0.056, modified=0.061, diff=0.005
  - test_accuracy: baseline=0.992, modified=0.992, diff=-0.000

### Iteration 15
- DSL: `i_rsi(k_close, 14) * (1 - price_position)` (feature=k_iter15_i_rsi_k_close_price_position)
- DSL valid: False
- FeatureSet candidate id: None
- baseline PF: 0.000 → modified PF: 0.000
- t_stat: 0.000, p_value: 1.000, cohens_d: 0.000
- scalar_score: 0.0000
- accepted: False, reason: quality_gate: NaN ratio 1.000 exceeds 0.3

📊 Multi-Objective Metrics

Iteration 1: k_loop_iter_1_7a129b

Y Label: C8 | Parent FS: #7

Objective mode: scalarize

Scalar score: -3.6248

Failed constraints: sharpe_ratio >= 1.0: got -7.5544

MetricBaselineModifiedDiff
win_rate 0.600 0.424 -0.176
max_drawdown 0.056 0.131 0.075
sharpe_ratio 19.162 -7.554 -26.717
profit_factor 1.947 0.775 -1.172
test_accuracy 0.992 0.992 -0.001

Iteration 2: k_iter2_k_high_pct_change_price_position_dist_to_high

Y Label: C8 | Parent FS: #7

Objective mode: single

Scalar score: 0.0000

Iteration 3: k_loop_iter_3_011c57

Y Label: C8 | Parent FS: #7

Objective mode: scalarize

Scalar score: -0.4789

MetricBaselineModifiedDiff
win_rate 0.600 0.500 -0.100
max_drawdown 0.056 0.187 0.131
sharpe_ratio 19.162 2.341 -16.821
profit_factor 1.947 1.085 -0.862
test_accuracy 0.992 0.992 0.000

Iteration 4: k_iter4_k_high_pct_change

Y Label: C8 | Parent FS: #7

Objective mode: single

Scalar score: 0.0000

Iteration 5: k_iter5_k_momentum_pct_chang_atr_norm

Y Label: C8 | Parent FS: #7

Objective mode: single

Scalar score: 0.0000

Iteration 6: k_iter6_abs_k_volume_rolling_mean

Y Label: C8 | Parent FS: #7

Objective mode: single

Scalar score: 0.0000

Iteration 7: k_iter7_price_position_atr_norm

Y Label: C8 | Parent FS: #7

Objective mode: single

Scalar score: 0.0000

Iteration 8: k_iter8_pct_change_atr_norm_vol_ratio

Y Label: C8 | Parent FS: #7

Objective mode: single

Scalar score: 0.0000

Iteration 9: k_iter9_atr_norm

Y Label: C8 | Parent FS: #7

Objective mode: single

Scalar score: 0.0000

Iteration 10: k_loop_iter_10_d1f1b3

Y Label: C8 | Parent FS: #7

Objective mode: scalarize

Scalar score: -0.1089

MetricBaselineModifiedDiff
win_rate 0.600 0.563 -0.037
max_drawdown 0.056 0.056 0.000
sharpe_ratio 19.162 18.205 -0.957
profit_factor 1.947 1.895 -0.053
test_accuracy 0.992 0.992 0.000

Iteration 11: k_iter11_pct_change_atr_norm_price_position

Y Label: C8 | Parent FS: #7

Objective mode: single

Scalar score: 0.0000

Iteration 12: k_iter12_pct_change_vol_ratio

Y Label: C8 | Parent FS: #7

Objective mode: single

Scalar score: 0.0000

Iteration 13: k_loop_iter_13_4e41bb

Y Label: C8 | Parent FS: #7

Objective mode: scalarize

Scalar score: -0.4789

MetricBaselineModifiedDiff
win_rate 0.600 0.500 -0.100
max_drawdown 0.056 0.187 0.131
sharpe_ratio 19.162 2.341 -16.821
profit_factor 1.947 1.085 -0.862
test_accuracy 0.992 0.992 0.000

Iteration 14: k_loop_iter_14_aabd65

Y Label: C8 | Parent FS: #7

Objective mode: scalarize

Scalar score: 1.0740

MetricBaselineModifiedDiff
win_rate 0.600 0.576 -0.024
max_drawdown 0.056 0.061 0.005
sharpe_ratio 19.162 24.736 5.574
profit_factor 1.947 2.449 0.501
test_accuracy 0.992 0.992 0.000

Iteration 15: k_iter15_i_rsi_k_close_price_position

Y Label: C8 | Parent FS: #1292

Objective mode: single

Scalar score: 0.0000

📁 Offline Report

Markdown backup: reports/autoloop/zz_sylvain/20260726_173014.md