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Honestly. Medications will help better than being a hobo.
Seriously, they will help. Meds are not always the answer, but in your case, they may be. You may not want to take them, but taking them will help. While taking them, see a therapist at least once a week. You may be surprised how much it helps.
Maybe you've already tried that, but this time try it with some resolve. You have enough resolve to want to live like a hobo, have enough resolve to help yourself first.
Hobo life sounds romantic, you're free from everything, and you can roam as you please. For someone who is of sound, stable mind, it can be liberating.
The reality is this: you're depressed, and you will stay depressed regardless of where you are, or where you're heading, or what you're doing. You cannot live life as a hobo and expect that to help. Living that life may be romantic, it's also a life filled with many cold freezing nights with no shelter, being hungry, malnurished, smelling terrible, and being treated like you're an animal by everyone else. It's degrading, and for someone who's already depressed, it won't help.
You don't need a mental hospital, you just need a visit to a counselor.
Fix yourself first, it's possible. I know this because I lived it. Then take your adventure. I promise it's worth it.