Am I doing something wrong? My sword almost never connects.

Make sure the weapon you use is one of your primary or major skills, otherwise you simply wouldn't have the skill to actually use it effectively and you'll be missing pretty much constantly.

Or you could have just hit a run of bad luck. Happens to the best of us.

Also different swings have different chances of hitting. I think stabs have a higher chance, and diagonal chops have the lower.

I am using a Dagger and I am proficient in short swords as a primary skill. Must be luck then, lol. BTW I couldn't hit a thing in privateers hold, probably because all I had was a long blade.