Signals & Position Sizes

Long Instrument
COFFEE 'C' FUTURE Dec12 COCOA FUTURE USD-CHF X-RATE EUR-USD X-RATE GBP-USD X-RATE USD-JPY X-RATE USD-CAD X-RATE S&P 500 INDEX Gold Spot $/Oz Dec12 Silver Spot $/Oz COPPER FUTURE WTI CRUDE FUTURE Dec12 HEATING OIL FUTR Nov12 NATURAL GAS FUTR Dec12 Dec12 SUGAR #11 (WORLD) Mar13

31 October 2012

Entries Type Trade lot

CFD CFD CFD Spot Spot Spot Spot Spot CFD Spot Spot CFD CFD CFD CFD 3,000 2 30,000 23,000 17,000 18,000 24,000 26,000 10 8 225 2,000 50 2,500 1,000

Exits Unit 3
190.12 2,772 22.23 0.9861 1.3264 1.6396 80.89 1.0072

Stops Unit 1 Unit 2

178.44 2,609 21.08 0.9706 1.3034 1.6178 79.62 0.9922 1,452.38 1,770.69 34.3651 374.80 97.87 318.22 3.780

Close Dist.
157.20 2,390 19.56 0.9324 1.2959 1.6073 79.63 0.9994 1,411.94 1,709.60 31.7725 350.60 85.68 308.66 3.691 6.05 4.86 4.78 7.63 2.31 2.71 1.48 0.30 4.24 5.11 5.39 5.46 7.31 3.19 2.20

Unit 1
185.45 2,707 21.77 0.9799 1.3172 1.6309 80.38 1.0012 1,474.51 1,796.08 35.3650 383.95 101.01 326.68 3.970

Unit 2
187.79 2,740 22.00 0.9830 1.3218 1.6353 80.63 1.0042 1,481.89 1,804.54 35.6983 387.00 102.06 329.50 4.033

Unit 4
192.46 2,805 22.46 0.9892 1.3310 1.6440 81.14 1.0102 1,496.64 1,821.47 36.3649 393.10 104.15 335.14 4.160 156.30 2,338 19.27 0.9215 1.2826 1.5914 77.95 0.9736 1,405.14 1,698.86 31.5238 348.20 84.66 301.61 3.609

Unit 3
180.78 2,642 21.31 0.9737 1.3080 1.6222 79.87 0.9952 1,459.76 1,779.16 34.6984 377.85 98.91 321.04 3.843

Unit 4
183.11 2,674 21.54 0.9768 1.3126 1.6265 80.13 0.9982 1,467.13 1,787.62 35.0317 380.90 99.96 323.86 3.907

176.11 2,577 20.85 0.9675 1.2988 1.6135 79.37 0.9892 1,445.01 1,762.23 34.0318 371.74 96.82 315.40 3.716

1,489.26 1,813.00 36.0316 390.05 103.11 332.32 4.097

Source: Bloomberg L.P., Saxo Bank Strategy & Research

Short Instrument
COFFEE 'C' FUTURE Dec12 COCOA FUTURE USD-CHF X-RATE EUR-USD X-RATE GBP-USD X-RATE USD-JPY X-RATE USD-CAD X-RATE S&P 500 INDEX Gold Spot $/Oz Dec12 Silver Spot $/Oz COPPER FUTURE WTI CRUDE FUTURE Dec12 HEATING OIL FUTR Nov12 NATURAL GAS FUTR Dec12 Dec12 SUGAR #11 (WORLD) Mar13

Entries Type Trade lot

CFD CFD CFD Spot Spot Spot Spot Spot CFD Spot Spot CFD CFD CFD CFD 3,000 2 30,000 23,000 17,000 18,000 24,000 26,000 10 8 225 2,000 50 2,500 1,000

Exits Unit 3
151.63 2,273 18.81 0.9153 1.2164 1.5550 76.62 0.9573

Stops Unit 1 Unit 2

163.31 2,436 19.96 0.9308 1.2394 1.5768 77.89 0.9723 1,417.75 1,615.62 28.5299 343.80 87.80 310.07 3.245

Close Dist.
157.20 2,390 19.56 0.9324 1.2959 1.6073 79.63 0.9994 1,411.94 1,709.60 31.7725 350.60 85.68 308.66 3.691 0.19 0.80 0.63 1.75 7.64 5.01 4.94 6.03 1.11 7.05 6.36 2.61 0.49 1.25 5.01

Unit 1
156.30 2,338 19.27 0.9215 1.2256 1.5637 77.13 0.9633 1,395.62 1,590.23 27.5300 334.65 84.66 301.61 3.055

Unit 2
153.96 2,305 19.04 0.9184 1.2210 1.5593 76.88 0.9603 1,388.24 1,581.77 27.1967 331.60 83.61 298.79 2.992

Unit 4
149.29 2,240 18.58 0.9122 1.2118 1.5506 76.37 0.9543 1,373.49 1,564.84 26.5301 325.50 81.52 293.15 2.865 185.45 2,526 21.77 0.9432 1.3140 1.6217 80.38 1.0012 1,470.96 1,796.08 35.1100 382.25 94.02 326.68 3.970

Unit 3
160.97 2,403 19.73 0.9277 1.2348 1.5724 77.64 0.9693 1,410.37 1,607.15 28.1966 340.75 86.76 307.25 3.182

Unit 4
158.64 2,371 19.50 0.9246 1.2302 1.5681 77.38 0.9663 1,403.00 1,598.69 27.8633 337.70 85.71 304.43 3.118

165.64 2,468 20.19 0.9339 1.2440 1.5811 78.14 0.9753 1,425.12 1,624.08 28.8632 346.86 88.85 312.89 3.309

1,380.87 1,573.31 26.8634 328.55 82.56 295.97 2.928

Source: Bloomberg L.P., Saxo Bank Strategy & Research

How to understand the tables

Figures are based on an account size of EUR 50,000. In order to use the tables for a different account size the figures must be scaled relatively. For example, an account size of EUR 25,000 should divide the trade sizes by two. Trade lot refers to the amount to be bought or sold in Saxo Trader assuming CFD instruments for all commodities and S&P 500 E-Mini, spot for FX and precious metals. For example, sugar's trade size is measured in pounds and WTI crude is measured in barrels. Dist. (distance) is measured as the distance to Unit 1 divided by ATR (20 days). If distance is zero and flashing green it means that the latest closing price was either above or below the first unit (or multiple units if the move was big) depending on the trade being long or short. This indicates that a position should be made with buying or selling the units whenever the price is reached with each unit consisting of the trade size. When a trade is initiated, entry points for unit 2-4 are the prices observed when the signal occurred and can be used to enter limit orders with the price points for each unit when entering a trade

(see example below).

All other instruments than spot FX and precious metals the positions have to be rolled. Saxo Trader provides the expiration dates on all commodities and stock indices.

Trade example
This trade example is based on Donchian figures for Coffee calculated as of June 6, 2012. The prior closing price was 156.20 and the distance was 0.33 with short entries for unit 1-4 of 154.65, 152.31, 149.96 and 147.62 respectively and stops for unit 1-4 of 164.03, 161.68, 159.34 and 156.99 respectively. The trade size was 37,500 (pounds) per unit. In this example it is assumed that the distance was zero and flashing green thus indicating that the closing price was not 156.20 but instead something below the first unit's short entry price of 154.65 - for example 153.10. How should Coffee be traded with the current information on hand? Given the closing price of 153.10 a short signal was triggered as 153.10 was below the first short unit entry point of 154.65. The first short unit based on 37,500 pounds should thus be added on the open at the available price e.g. 153.15. The entries and stops for unit 2-4 on the day the trade is initialised should be used going forward. One way to do this, is by immediately setting up limit orders for the next short units 2-4 on 152.31, 149.96 and 147.62 respectively with a trade size of 37,500 on each limit order. Every short unit should be accompanied by stops based on the stop prices indicated in the table. Stops can either be set up as units are added or instead executed intraday with market orders if

stops are reached.

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