Feature Iteration Run #987: zz_sylvain

# AUTOLOOP: zz_sylvain (8 iterations)

> **Phase**: Y4.7 Option B (DSL → Python code → FeatureSet candidate)
> **Target indicator**: zz_sylvain
> **Base feature_set_id**: 1268
> **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**: 270.17s
> **Total accepted**: 1
> **Total rejected**: 7

## Iterations 詳情

### Iteration 1
- DSL: `k_momentum_pct_change / (1 + atr_norm * 10) - o_div_amplitude_12 * (1 + hl_range)` (feature=k_loop_iter_1_a67cd0)
- DSL valid: True
- FeatureSet candidate id: 1264
- 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 < -0.1, 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 + hl_range) * (1 - dist_to_high) / (1 + atr_norm) * (1 - price_position)` (feature=k_iter2_k_high_pct_change_hl_range_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']; canonical duplicate: k_high.pct_change * (1 + hl_range) * (1 - dist_to_high) / (1 + atr_norm) * (1 - price_position)

### Iteration 3
- DSL: `abs(o_div_binary(48)) * k_volume.rolling.mean() * k_high.pct_change(12) / (1 + atr_norm)` (feature=k_iter3_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 4
- DSL: `k_high.pct_change(12) / (1 + atr_norm) * (1 - price_position) * (1 - dist_to_low) * (1 + vol_ratio)` (feature=k_iter4_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_low']

### Iteration 5
- DSL: `k_high.pct_change(12) * (1 + hl_range) / (1 + atr_norm) * (1 - price_position) * vol_ratio / (1 + k_momentum_pct_change.abs())` (feature=k_loop_iter_5_891888)
- DSL valid: True
- FeatureSet candidate id: 1265
- baseline PF: 1.947 → modified PF: 1.138
- t_stat: 0.000, p_value: 0.512, cohens_d: 0.261
- scalar_score: -0.4196
- accepted: False, reason: normalized_score -0.2435 <= 0.0, sharpe_delta -14.6732 < -0.1, hypothesis test not confirmed

**Metrics summary:**
  - profit_factor: baseline=1.947, modified=1.138, diff=-0.810
  - sharpe_ratio: baseline=19.162, modified=4.489, diff=-14.673
  - win_rate: baseline=0.600, modified=0.466, diff=-0.134
  - max_drawdown: baseline=0.056, modified=0.166, diff=0.110
  - test_accuracy: baseline=0.992, modified=0.981, diff=-0.012

### Iteration 6
- DSL: `obv_ensemble_3 * (1 - price_position) / (1 + atr_norm * 10)` (feature=k_loop_iter_6_3c0c39)
- DSL valid: True
- FeatureSet candidate id: 1266
- 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 < -0.1, 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 7
- DSL: `i_macd(k_close, 12, 26, 9) - i_macd(k_close, 6, 13, 4)` (feature=k_loop_iter_7_83fe48)
- DSL valid: True
- FeatureSet candidate id: 1267
- baseline PF: 1.947 → modified PF: 1.350
- t_stat: 0.000, p_value: 0.474, cohens_d: 0.224
- scalar_score: -0.3128
- accepted: False, reason: normalized_score -0.1847 <= 0.0, sharpe_delta -10.8976 < -0.1, hypothesis test not confirmed

**Metrics summary:**
  - profit_factor: baseline=1.947, modified=1.350, diff=-0.597
  - sharpe_ratio: baseline=19.162, modified=8.265, diff=-10.898
  - win_rate: baseline=0.600, modified=0.500, diff=-0.100
  - max_drawdown: baseline=0.056, modified=0.108, diff=0.052
  - test_accuracy: baseline=0.992, modified=0.992, diff=-0.000

### Iteration 8
- DSL: `(o_pct_change_12 - k_high.pct_change(12)) / (1 + atr_norm * 10)` (feature=k_loop_iter_8_315be6)
- DSL valid: True
- FeatureSet candidate id: 1268
- baseline PF: 1.947 → modified PF: 2.466
- t_stat: 0.000, p_value: 0.048, cohens_d: 0.292
- scalar_score: 1.4859
- 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