I've wondered the same thing. Antidepressants don't seem to be cutting it for me, and psychotherapy can only do so much for you. Personally, I don't think that the illness is untreatable, but perhaps incurable. I've done a lot of reading on the subject and I have came to the conclusion that I may suffer from my depression the rest of my life. It's really not that uncommon.
Like others have mentioned, there are things that I do that do seem to help. Keeping yourself busy, -- walking in the sunshine, eating some dark chocolate, socializing, laughing... all these things are supposed to be natural mood boosters and I've had some success with them. I think over time you adapt to it and you learn to cope more.
I'm sorry to whatever lead you to the forum, but I am glad that you are here. Welcome