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Feature Iteration Run #1018: zz_sylvain

Status: completed | Started: 2026-07-26 14:51:10 | Ended: 2026-07-26 14:59:27

⭐ Best Accepted Iteration

Iteration 8: k_high.pct_change(12) * (1 - price_position) * (1 - return_…

baseline PF: 1.947 → modified PF: 2.466 | Cohen's d: 0.388 | p-value: 0.012

📊 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_a0ff53 k_momentum_pct_change - o_div_amplitude… ✅ 1.947 1.465 -0.2506 0.000 0.302 0.258 ❌ REJECT scalar_score -0.2506 <= 0.0, sharpe_delta -8.5168 < -0.3, hypothesis test not confirmed
2 C8 gradient_boosting — — #7 k_iter2_k_high_pct_change_atr_norm_price_position k_high.pct_change(12) / (1 + atr_norm) … ❌ 0.000 0.000 0.0000 0.000 1.000 0.000 ❌ REJECT quality_gate: C8 leakage: ['dist_to_high']; canonical duplicate: k_high.pct_change / (1 + atr_norm) * (1 - price_position) * (1 - dist_to_high) * (1 + hl_range)
3 C8 gradient_boosting — — #7 k_iter3_pct_change_price_position_hl_range_atr_norm obv_rebased.pct_change(12) * (1 - price… ❌ 0.000 0.000 0.0000 0.000 1.000 0.000 ❌ REJECT safe_eval DSL produced inf values; likely division by zero
4 C8 gradient_boosting — — #7 k_iter4_k_high_pct_change_price_position_hl_range 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']
5 C8 gradient_boosting — — #7 k_loop_iter_5_0b3558 k_momentum_pct_change * (1 - price_posi… ✅ 1.947 0.000 0.0000 0.000 1.000 0.000 ❌ REJECT 1-trial proxy PF=0.775 < 0.95, no improvement expected
6 C8 gradient_boosting — — #7 k_iter6_abs_k_volume_rolling_mean abs(o_div_binary(12)) * k_volume.rollin… ❌ 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_hl_range_atr_norm_price_position_i_rsi obv_ensemble_3 * (1 - hl_range) / (1 + … ❌ 0.000 0.000 0.0000 0.000 1.000 0.000 ❌ REJECT quality_gate: NaN ratio 1.000 exceeds 0.3
8 C8 gradient_boosting — — #7 k_loop_iter_8_5e5717 k_high.pct_change(12) * (1 - price_posi… ✅ 1.947 2.466 1.4881 0.000 0.012 0.388 ✅ ACCEPT accepted
9 C8 gradient_boosting — — #1348 k_iter9_abs_hl_range_atr_norm_price_position abs(o_div_binary(12)) * (1 + hl_range) … ❌ 0.000 0.000 0.0000 0.000 1.000 0.000 ❌ REJECT safe_eval DSL: 變數未定義: abs
10 C8 gradient_boosting — — #1348 k_iter10_k_high_pct_change_price_position_return_5 k_high.pct_change(12) * (1 - price_posi… ❌ 0.000 0.000 0.0000 0.000 1.000 0.000 ❌ REJECT quality_gate: NaN ratio 1.000 exceeds 0.3
11 C8 gradient_boosting — — #1348 k_iter11_k_high_pct_change_price_position_return_5 k_high.pct_change(12) * (1 - price_posi… ❌ 0.000 0.000 0.0000 0.000 1.000 0.000 ❌ REJECT safe_eval DSL: 變數未定義: abs
12 C8 gradient_boosting — — #1348 k_loop_iter_12_497d47 k_high.pct_change(12) * (1 - price_posi… ✅ 2.466 1.110 -5.9392 0.000 0.033 0.739 ❌ REJECT scalar_score -5.9392 <= 0.0, sharpe_delta -21.7399 < -0.3, hypothesis test not confirmed
13 C8 gradient_boosting — — #1348 k_loop_iter_13_7d6c0f k_high.pct_change(12) * (1 - price_posi… ✅ 2.466 1.512 -3.7887 0.000 0.001 0.646 ❌ REJECT scalar_score -3.7887 <= 0.0, sharpe_delta -13.0368 < -0.3, hypothesis test not confirmed
14 C8 gradient_boosting — — #1348 k_loop_iter_14_3b83b1 k_high.pct_change(12) * (1 - price_posi… ✅ 2.466 0.000 0.0000 0.000 1.000 0.000 ❌ REJECT 1-trial proxy PF=0.000 < 0.95, no improvement expected
15 C8 gradient_boosting — — #1348 k_iter15_abs_k_volume_rolling_mean abs(o_div_binary(12)) * k_volume.rollin… ❌ 0.000 0.000 0.0000 0.000 1.000 0.000 ❌ REJECT safe_eval DSL: 變數未定義: abs

📄 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**: 1348
> **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**: 496.78s
> **Total accepted**: 1
> **Total rejected**: 14

## Iterations 詳情

### Iteration 1
- DSL: `k_momentum_pct_change - o_div_amplitude_12 + i_macd(k_close, 12, 26, 9) - i_ema(k_close, 20)` (feature=k_loop_iter_1_a0ff53)
- DSL valid: True
- FeatureSet candidate id: 1346
- baseline PF: 1.947 → modified PF: 1.465
- t_stat: 0.000, p_value: 0.302, cohens_d: 0.258
- scalar_score: -0.2506
- accepted: False, reason: scalar_score -0.2506 <= 0.0, sharpe_delta -8.5168 < -0.3, hypothesis test not confirmed

**Metrics summary:**
  - profit_factor: baseline=1.947, modified=1.465, diff=-0.482
  - sharpe_ratio: baseline=19.162, modified=10.646, diff=-8.517
  - win_rate: baseline=0.600, modified=0.514, diff=-0.086
  - max_drawdown: baseline=0.056, modified=0.103, diff=0.047
  - test_accuracy: baseline=0.992, modified=0.992, diff=-0.000

### Iteration 2
- DSL: `k_high.pct_change(12) / (1 + atr_norm) * (1 - price_position) * (1 - dist_to_high) * (1 + hl_range)` (feature=k_iter2_k_high_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: quality_gate: C8 leakage: ['dist_to_high']; canonical duplicate: k_high.pct_change / (1 + atr_norm) * (1 - price_position) * (1 - dist_to_high) * (1 + hl_range)

### Iteration 3
- DSL: `obv_rebased.pct_change(12) * (1 - price_position) * (1 + hl_range) / (1 + atr_norm)` (feature=k_iter3_pct_change_price_position_hl_range_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: safe_eval DSL produced inf values; likely division by zero

### Iteration 4
- DSL: `k_high.pct_change(12) * (1 - price_position) * (1 + hl_range) / (1 + atr_norm) * (1 - dist_to_high)` (feature=k_iter4_k_high_pct_change_price_position_hl_range)
- 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 5
- DSL: `k_momentum_pct_change * (1 - price_position) / (1 + atr_norm)` (feature=k_loop_iter_5_0b3558)
- DSL valid: True
- FeatureSet candidate id: 1347
- baseline PF: 1.947 → modified PF: 0.000
- t_stat: 0.000, p_value: 1.000, cohens_d: 0.000
- scalar_score: 0.0000
- accepted: False, reason: 1-trial proxy PF=0.775 < 0.95, no improvement expected

### Iteration 6
- DSL: `abs(o_div_binary(12)) * k_volume.rolling(20).mean() / (1 + atr_norm * 10) * (1 - price_position) * (1 + hl_range)` (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: `obv_ensemble_3 * (1 - hl_range) / (1 + atr_norm) * (1 - price_position) * i_rsi(k_close, 14) / 50` (feature=k_iter7_hl_range_atr_norm_price_position_i_rsi)
- 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

### Iteration 8
- DSL: `k_high.pct_change(12) * (1 - price_position) * (1 - return_5) / (1 + atr_norm * 10)` (feature=k_loop_iter_8_5e5717)
- DSL valid: True
- FeatureSet candidate id: 1348
- baseline PF: 1.947 → modified PF: 2.466
- t_stat: 0.000, p_value: 0.012, cohens_d: 0.388
- scalar_score: 1.4881
- accepted: True, reason: accepted

**Metrics summary:**
  - profit_factor: baseline=1.947, modified=2.466, diff=0.519
  - sharpe_ratio: baseline=19.162, modified=24.727, diff=5.565
  - win_rate: baseline=0.600, modified=0.636, diff=0.036
  - max_drawdown: baseline=0.056, modified=0.050, diff=-0.006
  - test_accuracy: baseline=0.992, modified=0.992, diff=-0.000

### Iteration 9
- DSL: `abs(o_div_binary(12)) * (1 + hl_range) / (1 + atr_norm) * (1 - price_position) * (1 - return_5)` (feature=k_iter9_abs_hl_range_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: 變數未定義: abs

### Iteration 10
- DSL: `k_high.pct_change(12) * (1 - price_position) * (1 - return_5) * i_rsi(k_close, 14) / (50 * (1 + atr_norm * 10))` (feature=k_iter10_k_high_pct_change_price_position_return_5)
- 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

### Iteration 11
- DSL: `k_high.pct_change(12) * (1 - price_position) * (1 - return_5) / (1 + atr_norm * 10) * (1 + obv_ensemble_3 / (1 + abs(o_div_amplitude_12)))` (feature=k_iter11_k_high_pct_change_price_position_return_5)
- 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 12
- DSL: `k_high.pct_change(12) * (1 - price_position) * (1 - return_5) * obv_ensemble_3 / (1 + atr_norm * 10)` (feature=k_loop_iter_12_497d47)
- DSL valid: True
- FeatureSet candidate id: 1349
- baseline PF: 2.466 → modified PF: 1.110
- t_stat: 0.000, p_value: 0.033, cohens_d: 0.739
- scalar_score: -5.9392
- accepted: False, reason: scalar_score -5.9392 <= 0.0, sharpe_delta -21.7399 < -0.3, hypothesis test not confirmed

**Metrics summary:**
  - profit_factor: baseline=2.466, modified=1.110, diff=-1.356
  - sharpe_ratio: baseline=24.727, modified=2.987, diff=-21.740
  - win_rate: baseline=0.636, modified=0.513, diff=-0.124
  - max_drawdown: baseline=0.050, modified=0.161, diff=0.111
  - test_accuracy: baseline=0.992, modified=0.992, diff=0.000

### Iteration 13
- DSL: `k_high.pct_change(12) * (1 - price_position) * (1 - return_5) / (1 + atr_norm * 10) * (1 + k_consecutive_shrink / 6)` (feature=k_loop_iter_13_7d6c0f)
- DSL valid: True
- FeatureSet candidate id: 1350
- baseline PF: 2.466 → modified PF: 1.512
- t_stat: 0.000, p_value: 0.001, cohens_d: 0.646
- scalar_score: -3.7887
- accepted: False, reason: scalar_score -3.7887 <= 0.0, sharpe_delta -13.0368 < -0.3, hypothesis test not confirmed

**Metrics summary:**
  - profit_factor: baseline=2.466, modified=1.512, diff=-0.954
  - sharpe_ratio: baseline=24.727, modified=11.690, diff=-13.037
  - win_rate: baseline=0.636, modified=0.538, diff=-0.098
  - max_drawdown: baseline=0.050, modified=0.135, diff=0.085
  - test_accuracy: baseline=0.992, modified=0.992, diff=-0.000

### Iteration 14
- DSL: `k_high.pct_change(12) * (1 - price_position) * (1 - return_5) / (1 + atr_norm * 10) * i_ema(k_close, 20)` (feature=k_loop_iter_14_3b83b1)
- DSL valid: True
- FeatureSet candidate id: 1351
- baseline PF: 2.466 → modified PF: 0.000
- t_stat: 0.000, p_value: 1.000, cohens_d: 0.000
- scalar_score: 0.0000
- accepted: False, reason: 1-trial proxy PF=0.000 < 0.95, no improvement expected

### Iteration 15
- DSL: `abs(o_div_binary(12)) * k_volume.rolling.mean / (1 + atr_norm * 10) * (1 - price_position)` (feature=k_iter15_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

📊 Multi-Objective Metrics

Iteration 1: k_loop_iter_1_a0ff53

Y Label: C8 | Parent FS: #7

Objective mode: scalarize

Scalar score: -0.2506

MetricBaselineModifiedDiff
win_rate 0.600 0.514 -0.086
max_drawdown 0.056 0.103 0.047
sharpe_ratio 19.162 10.646 -8.517
profit_factor 1.947 1.465 -0.482
test_accuracy 0.992 0.992 0.000

Iteration 2: k_iter2_k_high_pct_change_atr_norm_price_position

Y Label: C8 | Parent FS: #7

Objective mode: single

Scalar score: 0.0000

Iteration 3: k_iter3_pct_change_price_position_hl_range_atr_norm

Y Label: C8 | Parent FS: #7

Objective mode: single

Scalar score: 0.0000

Iteration 4: k_iter4_k_high_pct_change_price_position_hl_range

Y Label: C8 | Parent FS: #7

Objective mode: single

Scalar score: 0.0000

Iteration 5: k_loop_iter_5_0b3558

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_hl_range_atr_norm_price_position_i_rsi

Y Label: C8 | Parent FS: #7

Objective mode: single

Scalar score: 0.0000

Iteration 8: k_loop_iter_8_5e5717

Y Label: C8 | Parent FS: #7

Objective mode: scalarize

Scalar score: 1.4881

MetricBaselineModifiedDiff
win_rate 0.600 0.636 0.036
max_drawdown 0.056 0.050 -0.006
sharpe_ratio 19.162 24.727 5.565
profit_factor 1.947 2.466 0.519
test_accuracy 0.992 0.992 0.000

Iteration 9: k_iter9_abs_hl_range_atr_norm_price_position

Y Label: C8 | Parent FS: #1348

Objective mode: single

Scalar score: 0.0000

Iteration 10: k_iter10_k_high_pct_change_price_position_return_5

Y Label: C8 | Parent FS: #1348

Objective mode: single

Scalar score: 0.0000

Iteration 11: k_iter11_k_high_pct_change_price_position_return_5

Y Label: C8 | Parent FS: #1348

Objective mode: single

Scalar score: 0.0000

Iteration 12: k_loop_iter_12_497d47

Y Label: C8 | Parent FS: #1348

Objective mode: scalarize

Scalar score: -5.9392

MetricBaselineModifiedDiff
win_rate 0.636 0.513 -0.124
max_drawdown 0.050 0.161 0.111
sharpe_ratio 24.727 2.987 -21.740
profit_factor 2.466 1.110 -1.356
test_accuracy 0.992 0.992 0.000

Iteration 13: k_loop_iter_13_7d6c0f

Y Label: C8 | Parent FS: #1348

Objective mode: scalarize

Scalar score: -3.7887

MetricBaselineModifiedDiff
win_rate 0.636 0.538 -0.098
max_drawdown 0.050 0.135 0.085
sharpe_ratio 24.727 11.690 -13.037
profit_factor 2.466 1.512 -0.954
test_accuracy 0.992 0.992 0.000

Iteration 14: k_loop_iter_14_3b83b1

Y Label: C8 | Parent FS: #1348

Objective mode: single

Scalar score: 0.0000

Iteration 15: k_iter15_abs_k_volume_rolling_mean

Y Label: C8 | Parent FS: #1348

Objective mode: single

Scalar score: 0.0000

📁 Offline Report

Markdown backup: reports/autoloop/zz_sylvain/20260726_225927.md