HOW MUCH YOU NEED TO EXPECT YOU'LL PAY FOR A GOOD PNL

It's also possible to analyse the skewness and kurtosis in the interval PnL by getting third and 4th moments of $Y_t$ respectively. Presumably you will conclude that for two sequence with similar expectation and variance, you are going to like the just one with optimistic skew or lower kurtosis, but probably not depending on the self-assurance of t