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What happens if you approach meditation as merely registering experiences, rather than aiming for a goal? Sometimes our ambitions in meditation becomes the obstacle.
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I'm going to try and answer this as best as I can.
In regards to what one is doing in meditation, this may depend on your type of meditation. In mindfulness, usually, there is the idea of 'no bad meditation'. Mingyur Rinpoche describes this as trying your best, but if you're not successful that is also okay. He mentions that too great expectations may backfire in meditation, which is what people have been getting at in other answers.
You mentioned that you have moments of bliss, and that you seem to be clinging -- as in hoping -- to these blissful moments. You attribute value to them, I believe because you are usually stressed or affected by the anxiety.
I feel what could happen is that your expecting for things to be resolved is causing worry in itself, which biases your meditation. However, perhaps its also the case that you take more time to develop tangible effects from meditation. That doesn't mean there aren't intangible effects which you don't realize are occurring.
Considering that here, meditation is posited as an effective treatment for anxiety, and that MBSR (Mindfulness Based Stress Reduction) was developed for stress and anxiety, I feel you may be indeed benefiting from it.
However, mindfulness (as opposed to some purely Buddhist meditations) involves a curiosity towards one's experience; a curiosity which doesn't presume anything, but observes it as it occurs. Similarly, it involves non-judgment towards this experience. I believe this might be useful attitudes for your situation.
Also, you mention you're not "treatment resistant" because there is bliss. But, I don't feel bliss suggests success in meditation. If clung to, bliss may even be an impediment. A more wholesome attitude might involve equanimity, which is closer to the non-judgment I mentioned.
I dunno what to add, but I hope this helps!
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Might help if looking for real treatment:
...first of all: Respect, Confidence and Patient
...and then...
The Healing Power of the Precepts, by Ven. Thanissaro Bhikkhu (1997; 4pp./11KB)
Many people today have come to the Buddha's teachings in search of emotional and spiritual healing. In this short essay the author reminds us that the single most effective tool for healing a wounded heart may be found in the cultivation of sila, or virtuous conduct.
...after that for a while or even fast, meditation might come along as a result of basic treatment, if even knowing why the Buddha and for what he taught.
There is no act of will necessary for one with firm Sila to gain right concentration and release.
(Not given for keeping or stay kept in the wheel of trade, exchange and stacks but for release from it.)
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Your therapist suggested this might help, so it's really not on you. The best idea is to approach meditation expecting nothing in return, like, "what have i got to lose?" attitude. Just keep it simple. It's not meant to be goal-oriented. We call this "just sitting." There is actually an entire school of meditation based on this phrase alone. Just sit. Let thoughts come and go, feelings, perceptions, etc. Being OCD is like being in charge all the time, but here, and thats's why this isn't easy, it's about NOT being in control, just letting go. If you're a bit frustrated, you're probably doing okay. If something DOES happen, you still have to let go of that too. Almost better if it doesn't.
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I think there are (many) different types of Buddhist meditation.
Because it's under therapist's advice perhaps you could ask them -- about which type of meditation, and why, and how, and what if anything to expect.
Some of the types of meditation include e.g.:
In case you don't know already, I think that one of the most important bits of Buddhist doctrine is the doctrine of "the four noble truths":
So if I find myself feeling dissatisfied I might ask, "What am I craving? Do I want something, do I expect something to be different from the way it is? If my craving is causing me to feel tense, whose fault is that, and what good is it to do that?" And then let go of (at least temporarily) that self-made craving and dissatisfaction and see the world without it (and keep breathing and so on).
Other bits of doctrine are helpful too. The anatta doctrine deemphasises identifying with thoughts and feelings -- "that's me" and "that's mine". It warns that having a fixed "view of self" will cause suffering.
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RE: "I don't even know what I'm supposed to do during meditation" & "what's causing the bliss?" - Congrats, you are very clear about what it is that you're not clear about. That's an awesome first step.
The human mind is an information machine. When you set a goal X and you attain X, we get "X = X" and that feels good. When you set a goal of X and you attain Y, we get "X not= Y" and that feels bad. When you don't set a clear goal (X) or you're confused about what you have (Y), there is no basis for comparison, so that feels like an ambiguous feeling, perhaps even anxiety.
In meditation, you are supposed to work on achieving perfect X=X. That's when you feel bliss. So, first of all you need to clearly define X. And then you need to work on attaining it.
In Buddhism, our X changes as we advance, from level to level. It starts pretty coarse, and then it gets more and more subtle. First we define X as "having no coarse cravings and no coarse negative emotions". Once we attain that, we redefine it as "having no worries". Once we attain that, we redefine it as "having no doubts". And so on. So on every level we achieve a state of mind that has less inner conflict and more inner harmony, and once we attain it, we congratulate ourselves on attaining it. And then we define X as "not worrying about our state of mind" - and we attain that too. So it's like a ladder.