My strategy. First notice that the expected return in this game in the long run is zero dollars. You win what you risk, and you would expect to win and lose with roughly equal frequency. If your bets are constant, you should come pretty close to break even in the long run. But that might mean going way into to debt for a while and then slowly winning your way back up to even.
However, there is a better strategy, assuming there is no limit to what you can bet. Always bet double your losses. Go take out an enormous loan. Now, you're down \$500 plus the loan fees and short term interest -- let's say all that amounts to \$2000. So bet \$4000. If you win, return the loan in it's entirety and walk away. If you lose (you'd be down \$6k), so bet \$12,000 on the next flip. Again: win and walk away or lose and re-double. If at any point you win and walk away you'll walk away up on earnings. Pay off the loan and never play the game again.
This strategy is essentially the reason most games that involve gambling also involve limits to the bets. In a no-limit betting situation you could follow this strategy to pretty much insure yourself against losses. The caveat is that you might need an incredibly large amount of money to continue the doubling until you win. It wouldn't take long for millions of dollars to be at stake, and if at any point you are unable to bet more than your losses the strategy fails and you have dug yourself into extreme debt.
But, of course you shouldn't actually play the game just one more time.
Obviously. no. Don't play. Walk away. Whatever you have to pay for the loan is additional losses, which makes the expected value of playing the game one more time negative, even if slightly so. Let's say you put One kajillion dollars on the table. You have a 50% chance of losing the kajillion dollars and a 50% chance of winning the kajillion dollars. So, expected value: \$0. But now take into account the loan fees and we are in negative territory. If you win the bet, you get the kajillion dollars. You are a kajillionaire (minus your original losses and the fees for the loan which you can quickly pay off). If you lose, you are a negative kajillionaire minus the fees for the loan and your original losses. Let $k = \text{1 kajillion}, l = \text{losses so far}, f = \text{loan fees + interest}$. The average of those two outcomes is
\begin{align*}
\dfrac{(k - l - f) + (-k - l - f)}{2} &= \dfrac{-2(l + f)}{2} = -(l + f)
\end{align*}
Meaning that playing again you should view as having roughly the same cost as simply walking into the loan office and paying the fees on a loan you don't take out. So, you don't play again.