Do you mean I can transfer bitcoin to one exchange and buy altcoin, then move the altcoin to another exchange, then sell the altcoin to buy bitcoin?
Yes, for best results use an alt that was created for privacy and has the needed volume on both exchanges. This would require a bit of research first - volume and features of the various alt coins - but it should result in very well mixed coins that are very difficult to track.
The way I can imagine someone being able to track this would be if they had compromised both exchanges, your method of masking your IP when you connect to them (e.g. Tor or a VPN) and(!) the alt does a poor job in hiding the origin and/or destiny of the transaction. If the exchanges lack volume it does not matter how good the alt coin is. If you are the only buying and selling 1 BTC while you only see 0.01 btc on a normal day, its pretty easy to draw a connection. If you are way over the volume you will also move the price of the coin around which would make this an expensive mix.
Disclaimer: Im theory crafting here, there might be gaping holes in this idea that I did not think about.
I know two anonymous coins, Dash and Monero. Will either of those do the trick you mentioned.