Please, estimate below samples. SPY and DIA trading system. Both are WALK FORWARD TEST. Both have a lot of trades. Both uses same params. Both are stat. arb (the same 100%). Used 1000 lots as 1 lot (below chart show position size) and 30 usd per lot transaction cost. No problem if execute system on CME. In this case profit will be more. If you have interesting - DM me. SPY DIA
Index Arbs will blow you out if you're not prepared. In order to profit from the convergence you've got to hedge both with forwards and swaps. I don't think you understand fully what you're trying to do.
No, I have two working strats. Both are arb, but one I take negative edge on to arb it. You can't really hedge an arb between indices because of the divergence. It's blown out hedgies, and they got taught very expensive lessons. Even a perfectly hedged position will lose money upfront, and unless you know something I don't, it won't provide profits. Bonds are different, and creation/redemption is different. But, I have never seen profits over 5 years come from a stat arb in indices. The trades eventually come back to bite you, and it can come instantly. I can give you an example in a PM but unless you've got access to PM or RBH it's a waste of time.