@MauriceGrassau:
You can do this with the free app HyperSwitch. Granted, it is listed as “beta” software, but I have been using it for over a year with no issues. It’s fairly customizable, too; I have it set up so that CMD+TAB cycles through all open apps, OPT+TAB cycles through all windows on the current space only (do this by disabling “Include windows from other spaces” in the prefs), and OPT+` cycles through all windows for the current app on the current space.
Hope that helps!