The reason it comes on when you turn the stat down and the back up is, it resets the computer module. The module has locked out, which means it tried to start and did not light. On a call for heat the you should here the spark light the pilotand then the sparking should stop. If you continue to hear it spark while the pilot is lit, and continues to spark and then the pilot goes out, then you may have a dirty flame sensor. It is more than likely the ignition module. A model number and serial number would be very helpfull.