To get the result you wish, go to the screen with the "Story Mode" and "Challenge Mode" options, hold there L+R and enter one the following combinations:
Infinite health: Up, Right, Up, Left, Down, Left, Down, Right.
Infinite combo meter: Left, Right, Down, Up, Up, Down, Right, Left.
All upgrades: Down, Up, Down, Left, Down, Right, Up, Down.
All bonuses: Left, Down, Left, Right, Left, Left, Down, Right.
Dark Knight difficulty setting: Right, Up, Up, Right, Left, Down, Right, Up.