THE FACT ABOUT PNL THAT NO ONE IS SUGGESTING

You can even analyse the skewness and kurtosis of your period PnL by getting 3rd and 4th moments of $Y_t$ respectively. Presumably you will conclude that for two series with identical expectation and variance, you are going to choose the just one with optimistic skew or decreased kurtosis, but maybe not dependant upon the self-confidence of the ind