After many years of dealing with this myself, I've found several things which can really prevent depression.
First, physical exercise is the most important part of beating depression. You probably won't believe it until you try it, but it really works. It just makes you feel much better.
Also, I'm at a higher risk of depression if I'm bored or left to my own thoughts for too long. I try to find engaging, challenging, interesting activities which I can participate in. It's good to be with other people, be it friends, family, volunteer organizations, or even a job. But even when you're alone, it's possible to occupy yourself by reading or working on some sort of project - give your mind something to think about.
It's when I get wrapped up in my own thoughts too much that I'm at risk of becoming depressed. Think of it as a game - try to keep finding distractions so you don't allow yourself to have negative thoughts.
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