Is there enough room between the end of the axle and the outside face of the dropout, it could be that the cam is tightening against the axle and not the dropout. Chromed dropouts are also more prone.
Having said that good old Campag skewers never seemed to slip, even when I raced in the 70's
What he said. Old-school skewers seem to have more "bite" on horizontal chromed ends compared to the more modern styles aimed at bikes with vertical dropouts. Campag, right up to the late 90s/early 00s, and Sachs/Maillard both work well in my experience, although the chrome plating on the latter doesn't always stand the test of time quite so well.
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