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I love sad RP. That being said, you can overdo the sad. I'm not interested in a story that's always grimdark, where bad thing after bad thing happen to your character until he/she is a total woobie and eventually stops being a functional person but some unstable, emotionally wounded, shivering... thing. As with most things, moderation and variety are important. Sad scenes are going to be a lot more impactful when they strike after some moments of happiness. With no reprieve from the tragedies, it's hard to keep caring about them.