As Billingham posted,
there's no protection from a DIRECT lightning strike. NONE!
Do as you've been doing by unplugging everything and you're that much more safe from damage.
Here's a little side note to add: even if you unplug everything, and a lightning strike is within a few feet of your equipment, you more than likely will suffer some damage. That bolt of lightning is measured in the hundreds of thousand volts or more, with amperage being extremely high also. This causes an electro-magnetic field affect that damages sensitive electronic components.
Even if you used an indoor antenna, and battery back up, you're connected to the internet, whereby a bolt of lightning hitting that wire travels into your equipment; damage done. So, do as you're been doing; unplug everything.
I live in the lightning capitol of the U.S. of A., east of Tampa, Florida. I unplug it all...
Freedom, a beautiful way of life.
Old scanners like me:
Pro-107, Pro-44, Pro-94, Pro-2006, DX-440