Lessons learned about over-optimization on Kalshi

Been trading some of the event contracts on Kalshi for a few months now, and one consistent lesson I'm getting hammered with is not to over-optimize an edge. I'd identified a few recurring patterns related to initial pricing biases on certain political and economic events, and for a while, it felt like I was printing money. The mistake came when I started trying to extract every last cent, chasing smaller and smaller spreads, and scaling into positions where the risk-reward was only marginally in my favor.

What happened? A couple of larger-than-expected whipsaws in some thinly traded contracts, and suddenly those tiny, 'guaranteed' edges evaporated, leaving me with outsized positions that couldn't easily be closed without significant loss. It’s a classic case of chasing yield and forgetting that even small probabilities of adverse events multiply when you increase exposure. Sticking to the clearest setups, even if they're fewer, is always the better play.