The volatility skew on equities is generally downward sloping as a function of strike (because investors are scared of crashes), meaning that the puts you buy to protect your capital will be more expensive than the calls you are selling to earn the premium - if you want the same amount of downside protection as you have upside risk, you'll actually bleed cash with this strategy. The only solution is to buy less downside protection that upside risk, which leaves you vulnerable to a market crash, whilst at the same time capping your upside - exactly the situation you don't want to be in!