Suppose you have 3 stocks, say X Y Z. You also know that
X is cointegrated to Y using some test (say ADF)
Y is cointegrated to Z.
However, no transitivity, and no threesome cointegration whatsoever (in other words, neither X is directly cointegration to Z, nor is there a 3 symbols cointegration using Johansen).
Is there a way to generalize pair trading to make a dynamic portfolio of X Y Z?
Intuitively I would say yes, by thinking of two pairs, XY and YZ. But I don't see yet a good strategy managing both efficiently.