You can also analyse the skewness and kurtosis of your period of time PnL by having 3rd and 4th moments of $Y_t$ respectively. Presumably you might conclude that for 2 series with similar expectation and variance, you will choose the just one with good skew or decrease kurtosis, but maybe https://damienfzqfv.shotblogs.com/a-simple-key-for-pnl-unveiled-48039803