That's a common pattern in trading strategies with negative skews or tail risks. Even large hedge funds, like LTCM, can fall into this same pitfall.
For anyone interested, I can recommend the book "Systematic Trading" by Robert Carver. You don't have to be into algorithmic trading, the sections on risk management and positive vs negative skews are already worth the read.
For anyone interested, I can recommend the book "Systematic Trading" by Robert Carver. You don't have to be into algorithmic trading, the sections on risk management and positive vs negative skews are already worth the read.