Thanks for the feedback. If I would do leveraged, then on both legs. Otherwise it becomes messy as you mentioned.
I used to do this years ago, then people started figuring it out. Eventually borrow costs and buy-ins made it not worth my time.
Interesting thread. I am experimenting with similar arbs on some of those ETFs. Looks good on paper. It's very useful to know exactly how the ETF/ETC are priced, so it pays off to spend a few hours looking through their presentations and doing the math for yourself. Got that right!
Consider TZA (3x bear Russel 2000) and TNA (3x bull Russel 2000). If you short both of them (the same dollar amount) and not the same number of shares, most probably you will make money. If you had done that this year with no trade adjustment, you would have made about 10%. You can short 100k of TZA and 100K of TNA with less than $3000 margin. There are some months that you will lose money like 6%. That is because you are long speed of the Russel 2000 but short accelation of the of Russel 2000. So if market sharply moves in one direction, you will lose money. Download the daily data and check it out. You also have to be patient with this trade as it grows very slowly so most probably you might do something stupid in between and lose money.
If you look for sth. free, try freestockcharts.com. There you can plot a ratio, but not adding or subtracting. Use "Relative Strength" from the indicator list. Better than nothing.
In theory, shorting a leveraged ETF makes good sense, as if you examine a long enough period, both the long and the short side will go down due to decay/fees and the manner in which it is structured. There are several problems with actually pulling it off successfuly in real life. As already mentioned, if it goes hard in one direction for too long, you will need a lot of margin to maintain your position. The other problem is to locate both sides of the trade to short at the same time. Add to that the risk that one side of the trade might be forced to close (give back the shares that are short) while you are down. There is also the cost of borrowing to consider, as you are short both sides. Has someone actually held such a position for an extended period of time? In theory you can simlpy short both sides and never close the position if the decay outweighs the borrowing cost. Even add to the position over time.