It sounds as if you are doing all the right things. As long as you are effectively doing these things CONSISTENTLY, they should help. There may be a couple of other things that may help also. Your psychiatrist can try you on a "cocktail" of medications, meaning a mix of several different medications to assist you with the depression and other symptoms.
Many people who experience long term depression can also benefit from ECT (electro convulsive therapy). This usually is successful for several years with little setbacks. I do not know if you are interested or not, but here are a couple of websites to give you more information:
I have seen ECT work well for those who try it.
Some are also trying acupuncture for depression. I am not as familiar with the success rate, but here are some websites as well.
Hope this helps some. Gina