Negative skew means a long left tail: frequent small winners, occasional catastrophic losers. Option selling, carry trades and mean-reversion strategies are structurally negatively skewed. Positive skew means the opposite - frequent small losses funded by rare large winners - which describes trend following and long-option strategies.
Skew explains why two strategies with the same expectancy feel and behave completely differently. A negatively skewed system shows a smooth equity curve and a high win-rate, flatters every ratio computed on volatility, and then delivers a single loss that erases years. A positively skewed system looks broken most of the time and pays for itself in a few weeks per decade.
Judge a strategy by what its skew implies about the losses you have not seen yet. A record of 200 winning trades in a negatively skewed strategy is not evidence of safety; it is the expected appearance of a system whose loss has not arrived.
Related: fat-tails, r-distribution, outlier-dependence, sortino-ratio