Through the first qrtr of 2009 I happened to play a similar strategy (with mild modifications) on SPY. I lost 28% of my portfolio. That could answer youe questions.
When you play with multi-legged positions and subsequent adjustments, the UL has to cooperate and you have to be clever (lucky?) enough to adjust somewhere in the vicinity of the right time to adjust. You can't just mechanically put them on and expect them to work.
