You can also analyse the skewness and kurtosis from the interval PnL by taking third and 4th times of $Y_t$ respectively. Presumably you can conclude that for two sequence with equivalent expectation and variance, you may like the one with optimistic skew or decreased kurtosis, but it's possible not according https://alexissxace.csublogs.com/41132663/5-simple-techniques-for-pnl