Sounds like you didn't get a proper seal...

Have you tried Shure "olives"?

I actually use custom silicone sleeves made by ACS. Much better seal than any universal tip.

I do not own the HF5, but i do own the ER4s. And from what i can tell, looking for plentiful bass on an Etymotic IEM is fairly pointless. They are about quality not quantity. My 2 ct.

I own both and I agree with CJG888 that if you didn't get a good seal the IEMs won't sound well and this is particularly true with Etymotics. I also agree with  TheDreamthinker that Etymotics will never provide a large bass experience.  These IEMs are neutral with incredible clarity.  Regarding your experience that the mids and highs were shrilly, I have never experienced this and I've been using them for over a decade so it might be related to the seal.  I will say that Etymotics are not the most forgiving so if you have a bad source you will hear it.

My HF2 (same thing) was the first real earphone that convinced me I could get serious audio pleasure from a source other than speakers.  I think they provide a lot of clarity and detail.  I found the bass to be slightly light but also very tight and well presented.  The worst thing I can say about Etymotic's efforts is you need a ridiculously deep insertion.  Mind you in return for that you get amazing isolation.