Although simulations will predict good profits, you will probably lose your money doing this due to counterparty risk. Counterparty risk is the risk that, between the time you click the 'sell' button and the time you actually get the money deposited in your bank account a few days later, the exchange goes insolvent.

When a given coin trades at different prices on two exchanges (which is what these arbitrage algorithms look for), it will try to buy that currency on the cheap one and sell on the expensive one.

The main reason coins have different prices (more than a few cents) on different exchanges is that people are worried about the exchange being insolvent.

For instance, during MtGox's slide into doom, Bitcoin was cheap there. So this algorithm would have been busily buying Bitcoin with USD on MtGox, then transferring the Bitcoin to another exchange to sell, so it could pump the USD back into MtGox. Since withdrawals from MtGox were throttled, you would have built up a large balance there. When they shut down, you would have lost bigly.

People do make money doing arbitrage between exchanges, but you need a sophisticated model that considers counterparty risk, which isn't something you can read from a price sheet.