After a few years I stopped doing the mechanical insurance puts, and it was mainly a long-only portfolio.
I spent more and more time picking the firms I wanted to write repeated puts against, so I had more and more comfort being long my picks.
I did do other hedging, but on a very different cycle: entered only when the market timing entrails seemed to say it was a good time to put them on.
I made very steady returns for a while, but if I look at my returns on the hedging only, I lost a fortune or two.

Yes, I agree, when I was doing a hedged set of cash secured puts (using a set of MI screens as the underlying), I found that the hedges were always losers, even when the market declined substantially. At that point, even though the hedges were worth something, the event was usually quite transitory and by the time I closed the position, the hedges had bounced back down in price and didn't help (in one case actually losing money).

I'm trying to set this up mechanically so it is a "rinse, recycle, repeat" kind of operation, with the built-in discipline of repeating every few months. I agree with calculating the "return to go" and closing the position early once that has dropped to less attractive levels. In terms of not putting the hedge on immediately, the worry is that if you are unlucky, then the right day to put the hedges on simply doesn't come--and now you are unhedged.

--G