Company: DEFI
Filing Date: 2025-03-27
Form Type: 424B3
Source: 0001999371-25-003249
Chunk: 127

Company: Tidal Commodities Trust I
Filing Date: 2025-03-27
Form: 424B3
Chunk 127
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 penalty factor for volatile price series
resulting from market effects of wide bid-ask spreads, or the opposite effect, nil market volatility is calculated to delineate
anomalous trading activity.

This adjustment is based purely on price
volatility. When examining the Core Exchanges, those with volatility within one standard deviation away from the median volatility
(across all the Core Exchanges) are not penalized (penalty factor equals one). For exchanges with price volatility outside one
standard deviation from the median (across all the Core Exchanges), 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,volatility is the adjustment
for abnormal volatility of the k-th exchange, Volatility k is 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 pricevolatility are
the median and standard deviation of the realized volatility across all the Core Exchanges.

| - | 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 VolumeNorm are the median and standard deviation of this metric across all the Core