butor

This is correct. That's why I specified market risk. Of course not all the risks are overcome.

You're absolutely right: some exchanges are systematically divergent. It has been the case with BTC-e for a long time. This is not natively handled by the software.

The long/short mechanism overcomes the market risk (i.e. risk of losing money due to market moves) and reduces the slippage risk, but not the other risks, like technical issues on an exchange.