To begin with, I don't think the Buddhist 'doctrine' of anatta is a doctrine at all, and I don't regard it as a belief. For me, the issue is not whether there is a Self (or self), or there is not a Self (or self), but rather 'can I use the concept of self/Self wisely and skillfully?' The one time in the Pali Canon that the Buddha is asked point-blank 'Is there a Self?' he declined to answer either way. When the questioner left, dissatisfied, the Buddha was asked why he did not answer. He replied that responding either 'Yes there is a self' or 'No there is not a self' would in either case be misleading and unhelpful.
So in reading the Pali Canon, I don't read that the Buddha taught that we do not have a 'self'; only that it cannot be comprehended. He did not deny the subjectivity of experience, but denied that the subject itself could be isolated.
So what is this subject, this 'self' - I am not even sure whether to spell it with an upper case 'S' - Self - or not. One approach is to isolate four attributes that we demand of a permanent or semi-permanent self (these four attributes appeared in an old issue of Inquiring Mind, I forget which one - either Spring 1995 or Fall 2001):
1) The permanence of 'I'. The notion that 'I' is unchanging through a multitude of life experiences, perrmanent in some sense from birth at least until death.
2) The centerness of 'I'. We believe that the 'I' sits at the center of all sense impressions as an entity distinct from them, and in some way receives or experiences them - an observer within us watching everything that happens. Westerners usually locate it in the head, just behind the eyes.
3) The controllability of 'I'. Assuming that 'I' is in control, when in fact what we have control over is very small compared to what we would like to have control over.
4) The unity of 'I'. We think of our 'I' as one - a single thing, not many (people who sincerely believe they have many 'I's are called insane).
I believe that at heart anatta is an invitation to examine these in our own awareness, and see what fits for us, as individuals.
As I wrote before, the issue for me is not philosophical, or one of truth or falsity. The issue is how to use these concepts skillfully. For myself, in everyday life I do assume that I have an entity that I call a 'self' with the above four characteristics, more or less - I even began this sentence with the words 'for myself'. And I do find it tempting to elevate this notion of 'my self' into a cornerstone of my thinking, that I have a spirit or Self that is like some ever-present witness which is the ultimate 'subject' of my subjectivity.
At other times, and particularly in the phase I am in at the moment, I am finding it more helpful to put that idea aside, and just be aware of what I am actually aware of, without trying to fit that into a concept - or to be more precise, to touch my experience lightly with concepts to see what happens, but making sure the awareness stays primary, and my concept paint-brush is secondary. I write about being 'aware of awareness' in my previous article, and I write about my touching my meditation experience with concepts in some other articles on this site.
To summarise: If 'I' am in essence a silent witness, a spirit or Self if you will, I am pretty sure that this spirit/soul/self/Self as-it-is is far beyond my belief of it or my concept of it, or even what I can imagine it to be. So whether there is any kind of 'self' behind my awareness, or there is just a continuous unfolding of awareness without any foundation to it, my task is still the same - to put my faith in my awareness of my awareness and see where that leads.