I wanted to have a little play to see what arbitrage looks like around a chain of currencies, so sketched this:

Code:
function run ()
{
	StartDate = 20150101;
	EndDate = 20150901;

	#define EURCHF 0
	#define EURUSD 1
	#define USDCHF 2

	BarPeriod = 1;
	Spread = 0;
	Slippage = 0;
	RollLong = RollShort = 0; 
	
	var prices[3] = { 0, 0, 0 };
	
	while(asset(loop("EUR/CHF","EUR/USD", "USD/CHF")))
	{
		if(Asset == "EUR/CHF") prices[EURCHF] = price();
		if(Asset == "EUR/USD") prices[EURUSD] = price();
		if(Asset == "USD/CHF") prices[USDCHF] = price();
	}
	
	var arbitrage = 1 * prices[EURCHF] * (1 / prices[USDCHF]) * (1 / prices[EURUSD]);
	
	if(abs(arbitrage - 1) < .025 ) plot("Arbitrage", arbitrage, NEW, GREEN);
	PlotHeight2 = 600;
	set(PLOTNOW+PLOTLONG);
	
		
}


That gives a nice bumpy curve with a few spikes showing that arbitrage exists at a low level in the EUR->CHF->USD->EUR chain.

How would you go about assessing if the level of arbitrage is exploitable?

@jcl, an exploration of arbitrage might make a nice post on financial hacker blog.