It's also possible to analyse the skewness and kurtosis with the interval PnL by having 3rd and 4th times of $Y_t$ respectively. Presumably you might conclude that for 2 series with similar expectation and variance, you will favor the 1 with beneficial skew or lower kurtosis, but possibly not according https://pnl14566.vidublog.com/33137756/a-secret-weapon-for-pnl