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Feature Iteration Run #833: zz_sylvain

Status: completed | Started: 2026-07-21 06:37:59 | Ended: 2026-07-21 06:42:25

⭐ Best Accepted Iteration

Iteration 3: k_high.pct_change(12) / (1 + atr_norm) * (1 - price_positio…

baseline PF: 1.286 → modified PF: 2.113 | Cohen's d: 0.478 | p-value: 0.206

📊 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_iter1_dist_to_high_i_atr_k_high_k_low obv_ensemble_3 * (1 - dist_to_high) / (… ❌ 0.000 0.000 0.0000 0.000 1.000 0.000 ❌ REJECT safe_eval DSL: 變數未定義: obv_ensemble_3
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_ffef4b k_high.pct_change(12) / (1 + atr_norm) … ✅ 1.286 2.113 1.4199 0.000 0.206 0.478 ✅ ACCEPT accepted
4 — 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
5 — gradient_boosting — — #7 k_loop_iter_3_29c42f k_high.pct_change(12) / (1 + atr_norm) … ✅ 1.286 2.113 1.4199 0.000 0.206 0.478 ✅ ACCEPT accepted
6 — gradient_boosting — — #7 k_loop_iter_6_aee674 k_momentum_pct_change - o_div_amplitude… ✅ 1.286 1.399 0.0669 0.000 0.010 0.067 ✅ ACCEPT accepted
7 — gradient_boosting — — #7 k_loop_iter_7_d98fc8 k_high.pct_change(12) / (1 + atr_norm) … ✅ 1.286 2.113 1.4199 0.000 0.206 0.478 ✅ ACCEPT accepted
8 — gradient_boosting — — #7 k_iter8_k_momentum_pct_chang_dist_to_high_atr_norm k_momentum_pct_change * (1 - dist_to_hi… ❌ 0.000 0.000 0.0000 0.000 1.000 0.000 ❌ REJECT safe_eval DSL: 變數未定義: o_div_amplitude_48

📄 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**: 266.16s
> **Total accepted**: 6
> **Total rejected**: 2

## Iterations 詳情

### Iteration 1
- DSL: `obv_ensemble_3 * (1 - dist_to_high) / (1 + i_atr(k_high, k_low, k_close, 14))` (feature=k_iter1_dist_to_high_i_atr_k_high_k_low)
- 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: obv_ensemble_3

### 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: 1150
- 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) / (1 + atr_norm) * (1 - price_position) * (1 - dist_to_high) * (1 + o_div_amplitude_12)` (feature=k_loop_iter_3_ffef4b)
- DSL valid: True
- FeatureSet candidate id: 1151
- baseline PF: 1.286 → modified PF: 2.113
- t_stat: 0.000, p_value: 0.206, cohens_d: 0.478
- scalar_score: 1.4199
- 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 4
- 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: 1152
- 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 - price_position) * (1 - dist_to_high) * (1 + return_5)` (feature=k_loop_iter_3_29c42f)
- DSL valid: True
- FeatureSet candidate id: 1153
- baseline PF: 1.286 → modified PF: 2.113
- t_stat: 0.000, p_value: 0.206, cohens_d: 0.478
- scalar_score: 1.4199
- 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 6
- DSL: `k_momentum_pct_change - o_div_amplitude_12 * (1 - price_position) / (1 + atr_norm)` (feature=k_loop_iter_6_aee674)
- DSL valid: True
- FeatureSet candidate id: 1154
- baseline PF: 1.286 → modified PF: 1.399
- t_stat: 0.000, p_value: 0.010, cohens_d: 0.067
- scalar_score: 0.0669
- accepted: True, reason: accepted

**Metrics summary:**
  - profit_factor: baseline=1.286, modified=1.399, diff=0.114
  - sharpe_ratio: baseline=7.879, modified=10.356, diff=2.477
  - win_rate: baseline=0.553, modified=0.562, diff=0.009
  - 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 - price_position) * (1 - dist_to_high) * (1 + vol_ratio)` (feature=k_loop_iter_7_d98fc8)
- DSL valid: True
- FeatureSet candidate id: 1155
- baseline PF: 1.286 → modified PF: 2.113
- t_stat: 0.000, p_value: 0.206, cohens_d: 0.478
- scalar_score: 1.4199
- 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 8
- DSL: `k_momentum_pct_change * (1 - dist_to_high) * (1 + o_div_amplitude_48) / (1 + atr_norm)` (feature=k_iter8_k_momentum_pct_chang_dist_to_high_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: 變數未定義: o_div_amplitude_48

📊 Multi-Objective Metrics

Iteration 1: k_iter1_dist_to_high_i_atr_k_high_k_low

Y Label: — | Parent FS: #7

Objective mode: single

Scalar score: 0.0000

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_ffef4b

Y Label: — | Parent FS: #7

Objective mode: scalarize

Scalar score: 1.4199

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 4: 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 5: k_loop_iter_3_29c42f

Y Label: — | Parent FS: #7

Objective mode: scalarize

Scalar score: 1.4199

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 6: k_loop_iter_6_aee674

Y Label: — | Parent FS: #7

Objective mode: scalarize

Scalar score: 0.0669

MetricBaselineModifiedDiff
win_rate 0.553 0.563 0.009
max_drawdown 0.075 0.051 -0.023
sharpe_ratio 7.879 10.356 2.477
profit_factor 1.286 1.399 0.114
test_accuracy 0.986 0.986 0.000

Iteration 7: k_loop_iter_7_d98fc8

Y Label: — | Parent FS: #7

Objective mode: scalarize

Scalar score: 1.4199

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 8: k_iter8_k_momentum_pct_chang_dist_to_high_atr_norm

Y Label: — | Parent FS: #7

Objective mode: single

Scalar score: 0.0000

📁 Offline Report

Markdown backup: reports/autoloop/zz_sylvain/20260721_144225.md