I’ve been in the same camp, making $1M+ from W2 and being taxed like crazy, a few times also with premature AMT due to ISO exercise (though I later took advantage of long term capital gains on disposition, but still an incredible gamble to avoid golden handcuffs).
I am thinking of actually quitting my current job since it’s all W2 (finance, bonus heavy) and it’s not worth the stress considering what remains after taxes, it’s personally demotivating having to work 80 hours a week and have 50%+ go down the drain. I think getting a less paid 40h/week job with an effective 25-30% tax rate might be better.
Also, I’d suggest to shove all your take-home in index funds, and enjoy the low taxes on the dividends and capital gains. If you have a $5M portfolio, it will throw significant dividends and capital appreciation, that will likely continue to be taxed very favorably in the future.