You can even analyse the skewness and kurtosis in the interval PnL by having 3rd and 4th times of $Y_t$ respectively. Presumably you may conclude that for 2 sequence with equivalent expectation and variance, you are going to prefer the just one with constructive skew or reduce kurtosis, but probably https://donovanahlqt.blog-mall.com/34737802/what-does-pnl-mean