erol,
My instinct is that Tao is correct with his comment about delta/gamma.
I have noticed this buy high/ sell low situation when adjusting IC's, as well. For instance, when the market index moves up, you wind up rolling up calls that have become noticeably more expensive. If the market then proceeds downward after a few days of rising (which happens a good chunk of the time), you then eventually shift your position back downward, but only after losing some on the hedge.
However, the put side of the IC helps because, as you roll up the calls, you usually also roll up the puts. Then you are buying back cheap puts and selling more expensive ones.
This situation is acceptable if you only have to make an adjustment very occasionally. If you are fearful and adjust too often, you will adjust most of your profits away, too. The suggestion to close part of the position can also help, but it is most likely being closed at a loss. Nevertheless, it is better to lose a modest amount than your shirt. Options traders have numerous choices, but since knowing the future is really tough, they are decisions which are not easy to make.
The unfortunate truth is that there is no such thing as a perfect hedge which still allows you to make massive profits without risk. At some point you must take risks of some kind, either in direction (delta), volatility (vega), or time decay (theta).
Perhaps you could give us specific example of a situation that we could analyze and offer suggestions about.
Perhaps having credit spreads in both directions somewhere might offer some additional protection. I strongly recommend saving margin to make these adjustments possible, and preserve flexibility for closing on your terms, not on terms imposed by your broker.
