There is no way for us to tell you what is your problem. Each machine, even of the same model, may have different characteristics due to shipping, assembly or usage.
Most likely reasons are binding on axis, tool not being held tightly (debris in collet prevents full closure), motors too small for load, loose coupling on screw. Then you get to too much acceleration or too fast for the stepper to handle it. No magic formulas here, sorry.
Search for motor tuning acceleration or missing steps and you will get a plethora of possibilities.
HTH
RT