Fix NAV metric (scale by initial capital)

Author: jathoms

src/backtest_lib/backtest/__init__.py

@@ -242,6 +242,7 @@ def run(self, ctx: StrategyContext | None = None) -> BacktestResults:
             weights=allocation_history,
             market=self.market_view.truncated_to(i),
             backend=self._backend,
+            initial_capital=self.initial_portfolio.total_value,
         )
         return results
 

src/backtest_lib/backtest/results.py

@@ -184,8 +184,8 @@ def _std(xs: list[float]) -> float:
     def from_weights_market_initial_capital(
         weights: PastView[float, Any],
         market: MarketView[Any],
+        initial_capital: float,
         *,
-        initial_capital: float = 1.0,
         periods_per_year: float = 252.0,
         risk_free_annual: float | None = 0.02,
         backend: type[PastView],

tests/e2e/test_returns_track_price.py

@@ -11,11 +11,12 @@
 def test_returns_track_price_when_portfolio_is_one_security(single_security_market):
     market = single_security_market
     security = single_security_market.securities[0]
+    initial_capital = 1_000_000
     initial_portfolio = WeightedPortfolio(
         universe=market.securities,
         holdings={security: 1.0},
         cash=0,
-        total_value=10000000.0,
+        total_value=initial_capital,
     )
 
     def strategy(*args, **kwargs) -> Decision:
@@ -26,8 +27,10 @@ def strategy(*args, **kwargs) -> Decision:
     )
     results = backtest.run()
     assert all(
-        portfolio_value == pytest.approx(i)
-        for portfolio_value, i in zip(results.nav, range(1, 101), strict=True)
+        [
+            portfolio_value / initial_capital == pytest.approx(i)
+            for portfolio_value, i in zip(results.nav, range(1, 101), strict=True)
+        ]
     )
 
     assert results.total_return == pytest.approx(99)