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Feature Iteration Run #821: zz_sylvain

Status: completed | Started: 2026-07-19 13:19:36 | Ended: 2026-07-19 13:24:38

⭐ Best Accepted Iteration

Iteration 2: k_high.pct_change(12) / (1 + atr_norm) * (1 - price_positio…

baseline PF: 1.286 → modified PF: 2.113 | Cohen's d: 0.287 | p-value: 0.368

📊 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 — gradient_boosting — — #7 k_loop_iter_1_03dc85 k_high.pct_change(12) * (1 - dist_to_hi… ✅ 1.286 1.892 0.3017 0.000 0.471 0.168 ✅ ACCEPT accepted
2 — gradient_boosting — — #7 k_loop_iter_2_4ec712 k_high.pct_change(12) / (1 + atr_norm) … ✅ 1.286 2.113 1.0246 0.000 0.368 0.287 ✅ ACCEPT accepted
3 — gradient_boosting — — #7 k_loop_iter_3_489e96 k_high.pct_change(12) * i_macd(k_close,… ✅ 1.286 1.461 0.1029 0.000 0.041 0.045 ✅ ACCEPT accepted
4 — gradient_boosting — — #7 k_loop_iter_4_d86c2a k_high.pct_change(12) / (1 + atr_norm) … ✅ 1.286 2.113 1.0246 0.000 0.368 0.287 ✅ ACCEPT accepted
5 — gradient_boosting — — #7 k_loop_iter_5_a916e7 k_high.pct_change(12) / (1 + atr_norm) … ✅ 1.286 2.318 1.1642 0.000 0.267 0.266 ✅ ACCEPT accepted
6 — gradient_boosting — — #7 k_loop_iter_6_fb5248 k_high.pct_change(5) / (1 + atr_norm) *… ✅ 1.286 1.448 0.0975 0.000 0.145 0.166 ✅ ACCEPT accepted
7 — gradient_boosting — — #7 k_loop_iter_7_0c3bb4 k_high.pct_change(12) / (1 + atr_norm) … ✅ 1.286 2.318 1.1642 0.000 0.267 0.266 ✅ ACCEPT accepted
8 — gradient_boosting — — #7 k_loop_iter_8_df853c k_high.pct_change(12) / (1 + atr_norm) … ✅ 1.286 2.318 1.1642 0.000 0.267 0.266 ✅ ACCEPT accepted

📄 Report Markdown

# AUTOLOOP: zz_sylvain (8 iterations)

> **Phase**: Y4.7 Option B (DSL → Python code → FeatureSet candidate)
> **Target indicator**: zz_sylvain
> **Base feature_set_id**: 7
> **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**: 301.81s
> **Total accepted**: 8
> **Total rejected**: 0

## Iterations 詳情

### Iteration 1
- DSL: `k_high.pct_change(12) * (1 - dist_to_high) * i_rsi(k_close, 14)` (feature=k_loop_iter_1_03dc85)
- DSL valid: True
- FeatureSet candidate id: 1101
- baseline PF: 1.286 → modified PF: 1.892
- t_stat: 0.000, p_value: 0.471, cohens_d: 0.168
- scalar_score: 0.3017
- accepted: True, reason: accepted

**Metrics summary:**
  - profit_factor: baseline=1.286, modified=1.892, diff=0.606
  - sharpe_ratio: baseline=7.879, modified=19.176, diff=11.297
  - win_rate: baseline=0.553, modified=0.600, diff=0.047
  - max_drawdown: baseline=0.075, modified=0.054, diff=-0.021
  - test_accuracy: baseline=0.986, modified=0.986, 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_loop_iter_2_4ec712)
- DSL valid: True
- FeatureSet candidate id: 1102
- baseline PF: 1.286 → modified PF: 2.113
- t_stat: 0.000, p_value: 0.368, cohens_d: 0.287
- scalar_score: 1.0246
- accepted: True, reason: accepted

**Metrics summary:**
  - profit_factor: baseline=1.286, modified=2.113, diff=0.827
  - sharpe_ratio: baseline=7.879, modified=21.700, diff=13.821
  - win_rate: baseline=0.553, modified=0.596, diff=0.043
  - max_drawdown: baseline=0.075, modified=0.051, diff=-0.023
  - test_accuracy: baseline=0.986, modified=0.986, diff=0.000

### Iteration 3
- DSL: `k_high.pct_change(12) * i_macd(k_close, 12, 26, 9)` (feature=k_loop_iter_3_489e96)
- DSL valid: True
- FeatureSet candidate id: 1103
- baseline PF: 1.286 → modified PF: 1.461
- t_stat: 0.000, p_value: 0.041, cohens_d: 0.045
- scalar_score: 0.1029
- accepted: True, reason: accepted

**Metrics summary:**
  - profit_factor: baseline=1.286, modified=1.461, diff=0.175
  - sharpe_ratio: baseline=7.879, modified=11.792, diff=3.912
  - win_rate: baseline=0.553, modified=0.560, diff=0.007
  - max_drawdown: baseline=0.075, modified=0.051, diff=-0.023
  - test_accuracy: baseline=0.986, modified=0.987, diff=0.001

### Iteration 4
- DSL: `k_high.pct_change(12) / (1 + atr_norm) * (1 + hl_range) * (1 - dist_to_high)` (feature=k_loop_iter_4_d86c2a)
- DSL valid: True
- FeatureSet candidate id: 1104
- baseline PF: 1.286 → modified PF: 2.113
- t_stat: 0.000, p_value: 0.368, cohens_d: 0.287
- scalar_score: 1.0246
- accepted: True, reason: accepted

**Metrics summary:**
  - profit_factor: baseline=1.286, modified=2.113, diff=0.827
  - sharpe_ratio: baseline=7.879, modified=21.700, diff=13.821
  - win_rate: baseline=0.553, modified=0.596, diff=0.043
  - max_drawdown: baseline=0.075, modified=0.051, diff=-0.023
  - test_accuracy: baseline=0.986, modified=0.986, diff=0.000

### Iteration 5
- DSL: `k_high.pct_change(12) / (1 + atr_norm) * (1 + hl_range) * (1 - dist_to_high) * (1 + i_rsi(k_close, 14) / 100)` (feature=k_loop_iter_5_a916e7)
- DSL valid: True
- FeatureSet candidate id: 1105
- baseline PF: 1.286 → modified PF: 2.318
- t_stat: 0.000, p_value: 0.267, cohens_d: 0.266
- scalar_score: 1.1642
- accepted: True, reason: accepted

**Metrics summary:**
  - profit_factor: baseline=1.286, modified=2.318, diff=1.032
  - sharpe_ratio: baseline=7.879, modified=24.001, diff=16.122
  - win_rate: baseline=0.553, modified=0.596, diff=0.043
  - max_drawdown: baseline=0.075, modified=0.054, diff=-0.020
  - test_accuracy: baseline=0.986, modified=0.986, diff=0.000

### Iteration 6
- DSL: `k_high.pct_change(5) / (1 + atr_norm) * (1 + hl_range) * (1 - dist_to_high) * (1 + i_rsi(k_close, 14) / 100) * i_macd(k_close, 12, 26, 9)` (feature=k_loop_iter_6_fb5248)
- DSL valid: True
- FeatureSet candidate id: 1106
- baseline PF: 1.286 → modified PF: 1.448
- t_stat: 0.000, p_value: 0.145, cohens_d: 0.166
- scalar_score: 0.0975
- accepted: True, reason: accepted

**Metrics summary:**
  - profit_factor: baseline=1.286, modified=1.448, diff=0.162
  - sharpe_ratio: baseline=7.879, modified=11.620, diff=3.741
  - win_rate: baseline=0.553, modified=0.565, diff=0.012
  - max_drawdown: baseline=0.075, modified=0.051, diff=-0.023
  - test_accuracy: baseline=0.986, modified=0.986, diff=0.000

### Iteration 7
- DSL: `k_high.pct_change(12) / (1 + atr_norm) * (1 + hl_range) * (1 - dist_to_high) * (1 + i_rsi(k_close, 14) / 100) * (1 + vol_ratio)` (feature=k_loop_iter_7_0c3bb4)
- DSL valid: True
- FeatureSet candidate id: 1107
- baseline PF: 1.286 → modified PF: 2.318
- t_stat: 0.000, p_value: 0.267, cohens_d: 0.266
- scalar_score: 1.1642
- accepted: True, reason: accepted

**Metrics summary:**
  - profit_factor: baseline=1.286, modified=2.318, diff=1.032
  - sharpe_ratio: baseline=7.879, modified=24.001, diff=16.122
  - win_rate: baseline=0.553, modified=0.596, diff=0.043
  - max_drawdown: baseline=0.075, modified=0.054, diff=-0.020
  - test_accuracy: baseline=0.986, modified=0.986, diff=0.000

### Iteration 8
- DSL: `k_high.pct_change(12) / (1 + atr_norm) * (1 + hl_range) * (1 - dist_to_high) * (1 + i_rsi(k_close, 14) / 100) * (1 + return_20)` (feature=k_loop_iter_8_df853c)
- DSL valid: True
- FeatureSet candidate id: 1108
- baseline PF: 1.286 → modified PF: 2.318
- t_stat: 0.000, p_value: 0.267, cohens_d: 0.266
- scalar_score: 1.1642
- accepted: True, reason: accepted

**Metrics summary:**
  - profit_factor: baseline=1.286, modified=2.318, diff=1.032
  - sharpe_ratio: baseline=7.879, modified=24.001, diff=16.122
  - win_rate: baseline=0.553, modified=0.596, diff=0.043
  - max_drawdown: baseline=0.075, modified=0.054, diff=-0.020
  - test_accuracy: baseline=0.986, modified=0.986, diff=0.000

📊 Multi-Objective Metrics

Iteration 1: k_loop_iter_1_03dc85

Y Label: — | Parent FS: #7

Objective mode: scalarize

Scalar score: 0.3017

MetricBaselineModifiedDiff
win_rate 0.553 0.600 0.047
max_drawdown 0.075 0.054 -0.021
sharpe_ratio 7.879 19.176 11.297
profit_factor 1.286 1.892 0.606
test_accuracy 0.986 0.986 0.000

Iteration 2: k_loop_iter_2_4ec712

Y Label: — | Parent FS: #7

Objective mode: scalarize

Scalar score: 1.0246

MetricBaselineModifiedDiff
win_rate 0.553 0.596 0.043
max_drawdown 0.075 0.051 -0.023
sharpe_ratio 7.879 21.700 13.821
profit_factor 1.286 2.113 0.827
test_accuracy 0.986 0.986 0.000

Iteration 3: k_loop_iter_3_489e96

Y Label: — | Parent FS: #7

Objective mode: scalarize

Scalar score: 0.1029

MetricBaselineModifiedDiff
win_rate 0.553 0.560 0.007
max_drawdown 0.075 0.051 -0.023
sharpe_ratio 7.879 11.792 3.912
profit_factor 1.286 1.461 0.175
test_accuracy 0.986 0.987 0.001

Iteration 4: k_loop_iter_4_d86c2a

Y Label: — | Parent FS: #7

Objective mode: scalarize

Scalar score: 1.0246

MetricBaselineModifiedDiff
win_rate 0.553 0.596 0.043
max_drawdown 0.075 0.051 -0.023
sharpe_ratio 7.879 21.700 13.821
profit_factor 1.286 2.113 0.827
test_accuracy 0.986 0.986 0.000

Iteration 5: k_loop_iter_5_a916e7

Y Label: — | Parent FS: #7

Objective mode: scalarize

Scalar score: 1.1642

MetricBaselineModifiedDiff
win_rate 0.553 0.596 0.043
max_drawdown 0.075 0.054 -0.020
sharpe_ratio 7.879 24.001 16.122
profit_factor 1.286 2.318 1.032
test_accuracy 0.986 0.986 0.000

Iteration 6: k_loop_iter_6_fb5248

Y Label: — | Parent FS: #7

Objective mode: scalarize

Scalar score: 0.0975

MetricBaselineModifiedDiff
win_rate 0.553 0.565 0.012
max_drawdown 0.075 0.051 -0.023
sharpe_ratio 7.879 11.620 3.741
profit_factor 1.286 1.448 0.162
test_accuracy 0.986 0.986 0.000

Iteration 7: k_loop_iter_7_0c3bb4

Y Label: — | Parent FS: #7

Objective mode: scalarize

Scalar score: 1.1642

MetricBaselineModifiedDiff
win_rate 0.553 0.596 0.043
max_drawdown 0.075 0.054 -0.020
sharpe_ratio 7.879 24.001 16.122
profit_factor 1.286 2.318 1.032
test_accuracy 0.986 0.986 0.000

Iteration 8: k_loop_iter_8_df853c

Y Label: — | Parent FS: #7

Objective mode: scalarize

Scalar score: 1.1642

MetricBaselineModifiedDiff
win_rate 0.553 0.596 0.043
max_drawdown 0.075 0.054 -0.020
sharpe_ratio 7.879 24.001 16.122
profit_factor 1.286 2.318 1.032
test_accuracy 0.986 0.986 0.000

📁 Offline Report

Markdown backup: reports/autoloop/zz_sylvain/20260719_212438.md