throw (one's) cap over the windmill
To act in a deranged, reckless, or unconventional manner. Refers to the eponymous character of the novel Don Quixote, who tosses his hat over a windmill (which he imagines is a giant) as a challenge to it. Sarah is always trying to buck social conventions, throwing her cap over the windmill whenever possible. I know you like to take risks in business, but don't throw your cap over the windmill.