So the bore and tip fit, but the shell doesn't rest on the conch. The thing is even if the conch and shell don't fit as well, if the eartip actually has a good enough grip without being painful (too large tips that are forced in even if they fit will not only hurt but also slip out; some tips can be a hair too small, and thus slide out) it wouldn't necessarily have a problem staying in there. Best example: the UE TripleFi had the weirdest shape ever and it wasn't the size that makes them stick out, but they stayed in there fine. Don't have pics of that though since that was a long time ago but I have others.
Here's a Westone2 in my ear. That tiny shell really sticks in there well...if I have the triple flange tip on, otherwise the left ear feels OK with the medium tips until I move (large is too big).
Here is an Aurisoncs ASG-1.3. Slightly larger shell that mimics CIEMs, as in they shaped the inner side based on IIRC an average of 90% of the custom earphone molds they had on file, and sticks in really deep and stays put better than the Westone2, although that's not necessarily more from resting on the conch than that the Sony Hybrid and Aurisonics tips just fitting me better than the Westone tips in my left ear (it's a bit looser on the left).
Now here's the KZ ZSN, a shell design similar in style with the ASG-1.3 but without that kind of database to dictate the shape, with the stock ZSN large tip sticking out badly. Medium is too loose in my left ear. Large stays in...until I move, as in your case. But...
...here's the ZSN with some third party triple flange tips I got off Alibaba. Still sticks out a fair bit, ie I don't really feel the shell against my conch, but it stays in there well enough. I have to move in such a way as to tug on the wire for it to slide back out of my ear canal.
In your specific case though have you:
1. Tried many other tips other than the ones that the IEMs came with? Because in the case of the ASG-1.3 I just used the Sony Hybrids because they were easier to get at the time and I just stuck with them, even after my ASG-1.3 was replaced by Aurisonics and they sent me some extra tips from the 1.5 (they held on better, but too well...harder to pull out). But with the ZSN all the other tips it came with were horrible with my ears (large too large for my right, can't stay on in left either; medium too small for left), so I tried these triple flange tips and they work fine (though still sticking out, can't feel the back of the shell on my conch as I do with the Aurisonics). Same problem with my ZST before that, but I got some NewBee foam tips (used the large) because the treble on that is just outright bad, like, "not even regular EQ can fix this" bad.
2. Did you tighten the adjustment on the cable behind your head? All my earphone cables have this...even the KZ cables, if DIY. They didn't come with the slider, so what I did was fit it tight as I would wear it then twisted the zip tie that came with the cable where they would rest against the base of my skull. A bit trickier to put in, but I'd much rather deal with that than not anchor it properly.
On top of more extensive tip rolling and tightening up the cable, or what to pay attention to first and then rely on these second, maybe get an IEM with the smallest possible shell. Like whatever might be like the Westone shells. Or maybe just spend more and get the Westone W20? Just note that it's a dual BA driver design and might not necessarily be the best in sound for everybody (I might like the W2, but it basically sounds like the old HE400 but with smoother treble, and some people want more bass than just flat bass). Alternately, there's the Etymotic ER2, although I've tried Etys before during a local headphone audio meet and when I ran up and down the stairs to simulate rushing into a metro station, they started falling out (was using the triple flange), unlike the Shure SCL2 I had at the time.
Other than these, your only option is probably to just spend even more and get CIEMs as these will be custom molded to your ears' conch and canal. I mean, if it stays on when somebody
bangs on the drums like this or
dances choreography like this (which had at least one complaining about how it gave her a six pack while at least two others lost enough weight then and through to the next song) then I can't imagine how they wouldn't stay on during anything with a lot less and less intense movement.