There is a whole body of research on "treatment-resistant depression"; unfortunately, it's not all that uncommon. There are stimulation treatments that have shown some success and that are a lot less invasive than ECT, but they are still in clinical trials. I, too, have been trying various drugs for years. About 6 mos. ago, I was so disgusted, I just quit everything, even non-psych meds. I don't recommend it. I'm at the point where I don't know what to do anymore either, so you're not alone.
Take care, Jen