I think there's just one way to attach the tracker to it's clip, so you're probably not doing anything wrong. The instructions do suggest making sure the open end of the clip is pointing towards your toes if you wear it on your shoe. But mine has a tendency to come lose pretty often as well, and I just put a little piece of tape on the underside to hold the tracker to the clip after I put it on my shoelace. Your shoe is the best place to wear it for accuracy, but you can also attach it at your waist or to a bra if necessary.
Hope this helps.
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