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Signals & Position Sizes

Long Exits

Instrument Type Trade lot Close Dist. Unit 1 Unit 2 Unit 3 Unit 4 Unit 1 Unit 2 Unit 3 Unit 4

COFFEE 'C' FUTURE Dec12 CFD 3,000 157.20 6.05 185.45 187.79 190.12 192.46 156.30 176.11 178.44 180.78 183.11

COCOA FUTURE Dec12 CFD 2 2,390 4.86 2,707 2,740 2,772 2,805 2,338 2,577 2,609 2,642 2,674

SUGAR #11 (WORLD) Mar13 CFD 30,000 19.56 4.78 21.77 22.00 22.23 22.46 19.27 20.85 21.08 21.31 21.54

USD-CHF X-RATE Spot 23,000 0.9324 7.63 0.9799 0.9830 0.9861 0.9892 0.9215 0.9675 0.9706 0.9737 0.9768

EUR-USD X-RATE Spot 17,000 1.2959 2.31 1.3172 1.3218 1.3264 1.3310 1.2826 1.2988 1.3034 1.3080 1.3126GBP-USD X-RATE Spot 18,000 1.6073 2.71 1.6309 1.6353 1.6396 1.6440 1.5914 1.6135 1.6178 1.6222 1.6265

USD-JPY X-RATE Spot 24,000 79.63 1.48 80.38 80.63 80.89 81.14 77.95 79.37 79.62 79.87 80.13

USD-CAD X-RATE Spot 26,000 0.9994 0.30 1.0012 1.0042 1.0072 1.0102 0.9736 0.9892 0.9922 0.9952 0.9982

S&P 500 INDEX CFD 10 1,411.94 4.24 1,474.51 1,481.89 1,489.26 1,496.64 1,405.14 1,445.01 1,452.38 1,459.76 1,467.13

Gold Spot $/Oz Spot 8 1,709.60 5.11 1,796.08 1,804.54 1,813.00 1,821.47 1,698.86 1,762.23 1,770.69 1,779.16 1,787.62

Silver Spot $/Oz Spot 225 31.7725 5.39 35.3650 35.6983 36.0316 36.3649 31.5238 34.0318 34.3651 34.6984 35.0317

COPPER FUTURE Dec12 CFD 2,000 350.60 5.46 383.95 387.00 390.05 393.10 348.20 371.74 374.80 377.85 380.90

WTI CRUDE FUTURE Dec12 CFD 50 85.68 7.31 101.01 102.06 103.11 104.15 84.66 96.82 97.87 98.91 99.96

HEATING OIL FUTR Nov12 CFD 2,500 308.66 3.19 326.68 329.50 332.32 335.14 301.61 315.40 318.22 321.04 323.86

NATURAL GAS FUTR Dec12 CFD 1,000 3.691 2.20 3.970 4.033 4.097 4.160 3.609 3.716 3.780 3.843 3.907

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

Short Exits

Instrument Type Trade lot Close Dist. Unit 1 Unit 2 Unit 3 Unit 4 Unit 1 Unit 2 Unit 3 Unit 4

COFFEE 'C' FUTURE Dec12 CFD 3,000 157.20 0.19 156.30 153.96 151.63 149.29 185.45 165.64 163.31 160.97 158.64

COCOA FUTURE Dec12 CFD 2 2,390 0.80 2,338 2,305 2,273 2,240 2,526 2,468 2,436 2,403 2,371

SUGAR #11 (WORLD) Mar13 CFD 30,000 19.56 0.63 19.27 19.04 18.81 18.58 21.77 20.19 19.96 19.73 19.50

USD-CHF X-RATE Spot 23,000 0.9324 1.75 0.9215 0.9184 0.9153 0.9122 0.9432 0.9339 0.9308 0.9277 0.9246

EUR-USD X-RATE Spot 17,000 1.2959 7.64 1.2256 1.2210 1.2164 1.2118 1.3140 1.2440 1.2394 1.2348 1.2302

GBP-USD X-RATE Spot 18,000 1.6073 5.01 1.5637 1.5593 1.5550 1.5506 1.6217 1.5811 1.5768 1.5724 1.5681USD-JPY X-RATE Spot 24,000 79.63 4.94 77.13 76.88 76.62 76.37 80.38 78.14 77.89 77.64 77.38

USD-CAD X-RATE Spot 26,000 0.9994 6.03 0.9633 0.9603 0.9573 0.9543 1.0012 0.9753 0.9723 0.9693 0.9663

S&P 500 INDEX CFD 10 1,411.94 1.11 1,395.62 1,388.24 1,380.87 1,373.49 1,470.96 1,425.12 1,417.75 1,410.37 1,403.00

Gold Spot $/Oz Spot 8 1,709.60 7.05 1,590.23 1,581.77 1,573.31 1,564.84 1,796.08 1,624.08 1,615.62 1,607.15 1,598.69

Silver Spot $/Oz Spot 225 31.7725 6.36 27.5300 27.1967 26.8634 26.5301 35.1100 28.8632 28.5299 28.1966 27.8633

COPPER FUTURE Dec12 CFD 2,000 350.60 2.61 334.65 331.60 328.55 325.50 382.25 346.86 343.80 340.75 337.70

WTI CRUDE FUTURE Dec12 CFD 50 85.68 0.49 84.66 83.61 82.56 81.52 94.02 88.85 87.80 86.76 85.71

HEATING OIL FUTR Nov12 CFD 2,500 308.66 1.25 301.61 298.79 295.97 293.15 326.68 312.89 310.07 307.25 304.43

NATURAL GAS FUTR Dec12 CFD 1,000 3.691 5.01 3.055 2.992 2.928 2.865 3.970 3.309 3.245 3.182 3.118

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

Entries Stops

Entries Stops

31 October 2012

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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 witheach 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 thatthe 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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DISCLAIMER - GENERAL

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