Armour has to be ballanced, the old triangle is taught where you have to ballance "protection against mobility and offensive power". You could try to build a massive tank like the Germans did during WWII like the Mause tank, massive firepower and all but invulnerable, but it couldn't use bridges and a lot of roads making it slow and almost undeployable. Cavalry are pretty similar, need that ballance. Heck they even tried to turn camels into mobile machine gun posts by mounting vickers machine guns to them to give offensive firepower and mobility, but it they lacked protection. Hence why cavalry now are tanks and armoured vehicles where you have the three sides of the triangle balanced if your carefull. But they need to be backed up by infantry or they're next to useless.