THE SINGLE BEST STRATEGY TO USE FOR PNL

You can even analyse the skewness and kurtosis of your period PnL by taking third and 4th times of $Y_t$ respectively. Presumably you will conclude that for 2 series with equivalent expectation and variance, you can want the just one with favourable skew or lessen kurtosis, but maybe not with regards to the self esteem of the industry check out, et