You may also analyse the skewness and kurtosis on the time period PnL by getting third and 4th moments of $Y_t$ respectively. Presumably you will conclude that for two sequence with identical expectation and variance, you are going to like the just one with favourable skew or reduced kurtosis, but https://pnl41963.ampedpages.com/not-known-details-about-pnl-61075325