I used to have a similar problem and I still struggle to convert some winning positions. The reason for your struggle is probably one of three things, but my guess is that it is the third option for you; that's the one I struggled with too.
1) You need more practice with endgames and specifically the common theoretical endgames. Things like basic checkmates such as King +Rook vs King checkmate, or endings such as King + a single pawn vs King won by King Opposition.
2) You have the knowledge, but lack the practical experience and so during the pressure of a real game you fail... even though you would convert most of the time if you weren't under the time pressure of a clock, or the psychological pressure of an ongoing game. It just takes some experience.
3) You are winning, but you overly try to simplify and in doing so, you give up small amounts of your advantage in the process. You do this a few subtle times during the rest of the game and all of a sudden, the advantage has been blown! (Ugh) I actually made a chess video on my small (yet growing!) YouTube channel about this exact concept.
I'll actually post two videos here. The first video is the one I had in mind where the "Just Trade" section is the one you'll want to pay closest attention to and then the entire second video is elaborating on this idea in a slightly different way.
This is really annoying me lately. Pretty consistently, I would get a big advantage, usually a full minor piece up to a whole queen up, or more, then go on to lose the game anyway. I come out from a utterly crushing position, and fail to find relatively obvious winning continuations time after time, and then all of a sudden, I'm in a hopeless position.
I'm getting angry. I'm getting angry at myself for failing to win all these totally won games. I adore chess, and my main goal is to get better, but I'm beginning to wonder if I'm just hitting my rating peak at this point. I've only played one year, and I play like a rating much higher than mine is online. I somehow cannot improve my game no matter how many tactical puzzles I do or don't solve, how many videos I do or don't watch, or how many games I play and analyze afterward.
I never wanted to believe that stuff about "if you start late you can never get good". But I'm really struggling to see it at any other way at this point. I was steadily increasing in rating, then this problem became worse, and even worse. I was constantly unable to raise my rating any more, and most of this is due to losing totally won games.
This happens in every time control, believe it or not. There's a lot of games where I've been up more than a whole queen, but of course me being me, I still manage to blow it.
Any suggestions for what/how to study?