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Giving up on a certain path too easily isn't necessarily the best idea either. This is one of the things that makes being an entrepreneur so difficult. Balancing unbridled optimism with sober pragmatism is not easy. In fact, the effort expended balancing the two in your head is enough to be, well, depressing.
Several years ago I read http://nymag.com/news/features/17573/ and it has stuck with me since. One of the take-aways, which I subscribe to, is that some people are just innately happy. Or not. And that's just the way you're wired. Thus, my gratuitous advice to entrepreneurs, especially the ones fighting depression, and I would assume that most everyone has been there at some point, is to simply try to chill. No fancy strategies. Just realize that there are many, many things beyond your control, accept it, live with it, work with it and then try to relax before you drive yourself crazy or make decisions you'll come to regret.
Naturally, much easier said than done.
After all, taking care of his bloodline merchant-craft, he did fail once, but his second try at raising a startup took him to exponential sales. Just incredible. The journey still lies ahead, after the fateful reverse-merger: http://www.shoutle.com/dreamshout.html