Company: DEFI
Filing Date: 2025-11-04
Form Type: POS AM
Source: 0001999371-25-016766
Chunk: 95

Company: Tidal Commodities Trust I
Filing Date: 2025-11-04
Form: POS AM
Chunk 95
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changes), a penalty factor is calculated proportional to its absolute distance to the median point. For example, if one exchange is 2.5 standard deviations from the volatility median (across all the Core Exchanges), the penalty factor will be a 1/2.5 multiplier. The abnormal price adjustment factor is defined as: where C k,volatilityis the adjustment for abnormal volatility of the k-th exchange, Volatility kis its realized volatility (calculated as the square roots of the sum of squared log-returns calculated for each minute in the pricing window), and Med volatilityand σ pricevolatilityare the median and standard deviation of the realized volatility across all the Core Exchanges. 76 - Step 4: Calculate abnormal volume penalty factor for exchange weighting A penalty factor for abnormal volume series resulting from market effects of large traded positions, or the opposite effect, low volumes as a result of exchange technical problems, is calculated to delineate anomalous trading activity. This adjustment is based on normalized volume, defined as the trade volume during the pricing window divided by the regular volume (from Step 1). When examining Core Exchanges, those with normalized volume within one standard deviation from the median normalized volume (across all the Core Exchanges) are not penalized (penalty factor equals one). For exchanges with normalized volumes outside one standard deviation, a penalty factor is calculated proportionate to its absolute distance to the median point. For example, if one exchange is 2.5 standard deviations from the median normalized volume (across all the Core Exchanges), the penalty factor will be a 1/2.5 multiplier. The abnormal volume adjustment factor is defined as: where VolumeNorm kis the traded volume on the k-th exchange during the pricing window divided by its regular volume RV k, and Med VolumeNormand σ VolumeNormare the median and standard deviation of this metric across all the Core Exchanges. - Step 5: Calculate final exchange weightings Given the regular volumes and the penalty factor adjustments of all the Core Exchanges, the final exchange weightings are calculated as follow: Note that the denominator is the sum of the numerator across the Core Exchanges. This guarantees exchange weights will sum up to exactly one (1.00). Further, each individual adjustment factor is mathematically proven to achieve a minimum of , where Kis the variable number of Core Exchanges. For example, if there are four Core Exchanges and one exchange substantively diverges from the field in the three penalty factor metrics, its final weight