One thing I do to write a tragic character, is give them a character flaw, not a "woe is me" backstory. Givin these character flaws makes alot of room for developement, and makes makin the rest of the character simple sometimes.
Ei- character flaw= abandonment issues. - lets give them a background where important figures leave. How do we keep this from being such a sob storry? Lets have it be my new characters fault. They push people away. Which leads to another character flaw.
I also find that using the story you will be in, you can make character flaws that will surely lead to character and plot development.
Ei: im doing an "assassin school" rp. Well its an emotional toll to kill somebody. You may ask any vet, and they will agree. So i made a character who lacks emotional stability. This will give our school reason to keep our counselor, and allow me to have my character conquer thei emotions. Not to mention a struggle that will be aparent, and may cost lives... Though this character isnt necissarily tragic, i set them up so they can easily become tragic, based on our story.
Which leads to my final point. Tragic characters are when first written, often quite depressing. I personaly try to not make them, but instead make characters who through plot developement can become tragic. Why? Otherwise I make realy wierd, cliche psychopaths. And though a freak or two is good here and there, it gets old fast.