LTC is often higher on GDAX than most other exchanges and the coin takes about 15-20 minutes to send. Sending Bitcoin back can take a while but that has more to do with GDAX/Coinbase actually posting your transaction to the blockchain than Bitcoin itself (though, yes, Bitcoin transactions themselves can take a while). The longest I've had to wait was 8 hours total. But 5-10% profit in 8 hours is, um, pretty good.
The last time I did this about a week or 2 ago, there was an 8% difference between GDAX and Bittrex. At the end of it, after fees and all that, I made 6%.
Stupid question: what about doing more limited, "pseudo arbitrage"? Where you just maintain balances in USD and cryptocurrencies on each exchange and "buy low sell high" without actually completing the loop, and only later even out your balances across exchanges until you're ahead?
That is, if LTC is higher on exchange A than B, then you buy all you can on B and sell on A. You've made free money, but aren't strictly better than before because you have a different allocation across exchanges. But then you can later do a slow transfer that evens them out.
That requires holding a balance of LTC on different exchanges which is great if you really like LTC but personally I don't since you can't really trade that much with it other than BTC and USDT/EUR. Ethereum on the other hand has a ton of trading pairs on many exchanges so I would consider your strategy with it. Only issue is, arbitrage opportunities with Ethereum come around a lot less often than with LTC so I'm unlikely to hold ETH just waiting for that. To make a long story short, my base currency for trading is BTC so that's what I like to hodl. When an opportunity for arbitrage comes up, I take my chances buying, transferring to another exchange, selling, then transferring the BTC back. Successful trading is predicated on the probabilities being in your favor and a >5% arbitrage spread, usually (not always) works out. At least it works out enough to make it worth your while.
In that case, then yes, it is a good strategy. Find a currency you like holding and have some of it on as many exchanges as you want. When the price gets out of whack, sell on one exchange and buy on the other. Square up when it's convenient.
The last time I did this about a week or 2 ago, there was an 8% difference between GDAX and Bittrex. At the end of it, after fees and all that, I made 6%.