I understand what you are going through. Stopping medications are not the right option. There are plenty of drugs available in the market today for depression
and if some drug is not helping you, sure some other drug will help you. in short you should make frequent visits to your psychiatrist
so that he or she may try changing the doses or medications for you. It has been scientifically stated that, the response is better if one seeks drugs along with talk-therapy. You should request your psychiatrists to consider your for some psychotherapy
sessions. Even CBT can help to a large extent. From the description you have given it appears that you having some personality problems as well and you should seek therapies for it.
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