You are confused. This was not meant to be a strategy but to describe market dynamics.

You seem not to have read the article. Read below:

"Obviously in real world the strategy would incur transaction cost. The trading frequency is about one trade per week but the important consideration is that before 1993, when the SPY ETF was launched, it was possible to trade the index only via the use of a tracking portfolio that would reduce transaction cost due to a smaller number of securities."