I had this same dilemma. Well, a very similar one. I personally found that taking MDMA on a regular basis did much more for my depression than antidepressants. Going out forced me to confront (and TRIUMPH over) my social anxiety and fears of facilitating friendships. As an added benefit I got into shape, which improved my self image, and took better care of my body which improved my general health. I excelled in my workplace, as I was in sales and being able to emphasize with clients made my conversion rate skyrocket. I feel I made a wise choice continuing to consume MDMA.
However, I am not you. Just consider well your informatics and decide what's right for you. You're the best person for that.
I must chime and say antidepressants are more a name than a description. Note that all stimulants boost mood and increase dopamine, while most current antidepressants increase serotonin, which has no solid scientific basis as being the root of any depression. Some boost dopamine insignificantly, it's as if they worry more about the word 'addiction' than depression, never mind it takes more than the drug to become an addict.
So it's very understandable that many people go for stimulants/uppers like mdma and others, since there's no need for a scientific study to convince anyone of their effects on mood. Prescription antidepressants have been useless for me, to the point I wonder how they can be prescribe so readily when they may have no effect at all, they're being prescribed as if they were almost guaranteed effective. It's a pretty absurd situation when you think about how little science understands the brain, yet they keep popping out pills for it as if they knew it in and out, with weight gain, drowsiness, and even sexual dysfunction considered non-serious, even though they alter life negatively, and are un-healthy.
Like the op on mdma, I've on occasion had the opportunity to try coke, and like the op and mdma, it boosted my mood in a way that no antidepressant remotely came close to. Specifically it gave me motivation and game/active energy, which is completely lacking in depression, and when antidepressants don't do anything for that they become unattractive options, since that lack is the elephant in the room (prevents engagement in life). When depression is long term hard drugs can become serious options, because life is going to waste, literally, and anything that can help becomes an attractive option. Obviously that doesn't mean you don't need to be careful about addiction, but that's secondary to life is going to waste as it is. To understand the implication of depression, high achieving people become passive and unable when clinically depressed. If everyone was depressed, humanity would disappear. Not so with some people using stimulants for depression, and even so, only because current antidepressants are, overall seriously inadequate treatments.
Btw, when trying coke it didn't make me 'high'. I don't think it's possible to feel high with clinical depression, merely less miserable, or more energetic at best, possibly to the point of being merely functional. To me, non-depressed people seem totally high. I don't relate to being full of emotion without something external, like a drug or, a very dramatic event. This is no way to live, nor to die, take my word, so I really understand people seeking out unofficial drugs for self medication purposes, and it's not their fault. For example, you don't see someone with pain who finds relief in NSAIDs chase opiates for pain relief (incidentally when I was given Vicodin for a toothache they ended up in a drawer in favor of ibuprofen, regardless if they made me high or not, when in pain getting high isn't a priority). Same thing, if current antidepressants worked effectively, why would someone with clinical depression seek out stimulants to feel alive. Heck, even kids get Adderall for supposed adhd, yet adults with a suicidal condition are limited barely proven helpful drugs. It's just part of the whole depression stigma, the notion that depression isn't real, and is totally obnoxious in this day and age.
