what types of shows are you doing? It can make a HUGE difference if you are hitting the types of shows that appeal to your target audience compared to those that don't. You mentioned spending $500 in show fees, but then spending only $40 for one show? It is possible that you are hitting the wrong audience.
Personally, I avoid shows with fees less than $300-400 per weekend because I know I won't sell very much. My work just does not do well with the type of customer they attract. Those types of shows often attract people looking for entertainment and low price points. My average item is $200 and my lowest is $25. Even if my work appealed to them, it's not what they're expecting to spend. And shows with low fees often don't spend a lot on advertising, so they only attract local customers. Whereas some of the higher end shows that I do attract people from out of state.
Take some time to research the shows before you do them (if you want to continue). Plan to walk the show a year in advance. Look at the marketing, how it is juried, and the types of customers it attracts. When you're at a good show that feels like it would target the same type of market as your work, ask the vendors what other shows they do. Write them all down and take notes on dates, location, and booth fee. After a year you'll be in a much better position to hone in on shows that click with your product.