Trading Trading AFI and STW as a pair

I set out to see how trading AFI and STW as a pair would have turned out.
Simple rule was when the premium reached 9% end of month AFI would be sold and STW purchased, when the discount reach 5% end of month STW would be sold and AFI purchased. The aim was to have moderate/low turnover while taking advantage of clear arbitrage opportunities.
Brokerage was $20 for all trades.

Note some clear problems/limitations.
The example below ignores dividends (hopefully near a wash as similar constituents) and taxes.
I didn't download all NTA history from the ASX so trades might not be timed perfectly per the rules.
NTA isn't published on the day at the end of month, so you would be calculating this yourself in order to time the trade.
Some prices were a couple of days out as the data source wasn't perfect/complete.
This isn't a new idea, if it was so easy then it would be more popular
The time frame is only ~10 years (a lost decade for Australia) and past performance isn't...

Anyway I thought it was interesting so I might as well share and maybe learn something from more informed comments.

31/7/2007
AFI $5.97 (2.4% premium)
STW $57.00

Buy 175 Shares of STW ($5 cash left)

31/3/2008
AFI $4.91 (5.39% discount)
STW $52.23

Sell 175 STW for net $9120.75
Buy 1854 AFI ($2.61 cash left)

31/1/2009
AFI $4.00 (10.5% premium)
STW $32.91

Sell 1854 AFI for net $7,396.00
Buy 224 STW ($6.77 cash left)

30/4/2011
AFI $4.63 (6.84% discount)
STW $45.01

Sell 224 STW for net $10,062.24
Buy 2170 AFI ($1.91 cash left)

31/12/2012
AFI $5.41 (9.74% premium)
STW $43.4

Sell 2170 AFI for net $11,719.70
Buy 269 STW ($27.01 cash left)

31/3/2017
AFI $5.77 (3.35% discount)
STW $55.03

269 STW held = $14,803.07

Buy and Hold
175 STW = $9630.25
1671 AFI = $9641.67

 

I imagine you've thought of this already, but another consideration would be capital gains tax.