The dividend shuffle game?

[ken-do-nim]

I just read about this technique somewhere in a yahoo conversation, and it blew my mind.  ORC is a monthly paying dividend stock, arguably the highest percentage one there is.  NLY is a quarterly paying dividend stock, arguably the highest quarterly percentage one there is.  So some people are holding ORC for a couple months to get the dividend, then sell and buy NLY to get its dividend, then back to ORC, so that they pick up both the ORC and NLY dividends with the same money.  

There must be a catch to this!

Let's take it to a logical extreme.  Let's say you get a chart of all the ex-div dates in the market.  Every day you sell what you had been in, the day of its ex-div date, and you buy another whose ex-div date is the following day.  So theoretically, with the same cash, you could qualify for something like 250 dividends a year.

I mean, just looking at my ETrade account ...



So let's say I have $10,000 and it was invested in NLY on 3/30/2021.  On April 4th, I sell NLY and buy CSCO.  On April 6th, I sell CSCO and buy ORCL.  On April 7th, I sell ORCL and buy T.  On April 8th, I sell T and buy PFL. Etc. 

If this was doable, I'm sure everyone would be doing it, and it would have been discussed on this forum already.  Is the problem that stocks tend to go down on the ex-div date, so that this would make you lose your principal over time?