Why did roosevelt leave the republicans and set up the progressive party?

At the time, both the Republicans and Democrats believed that the Constitution as understood in the 1780s was the supreme law of the land and deserved to be treated as such. Roosevelt, on the other hand, believed that the Constitution should be interpreted as a flexible document that could be shaped to "adapt" to the "challenges of our day", thus concluding that neither party suited an agenda which, at the time, seemed radical to most Americans. This, consequently, resulted in his failed run for re-election, going up against former socialist member Woodrow Wilson. Roosevelt knew that without the concept of a flexible Constitution, most of his legislation would not have been able to become law, for example the establishment of the National Parks System and the FDA. Also, Rooselvelt supported Democratic Woodrow Wilson's national bank in the form of the Federal Reserve and also supported Wilson's first national income tax (which had been ruled unconstitutional in the latter part of the previous century). Under both the early 20th century Republicans and Democrats, race relations were actually improving when numerous less-than-comrehensive civil rights bills were brought before the Congress. However, on numerous occasions T.R. vetoed such legislation calling blacks, Native Americans, and Asians "inferior in the species". This same attitude was expressed by Woodrow Wilson when Wilson segregated the army during WWI and sent African American regiments on suicide missions.