Depends, some depressions sit far too deep to be cured or threated with things like alcohol and sex. If its a '' man I'm so ugly and such a loser / no self worth '' kind of depression you may be right, however, if its something like a fundamental / existential / solipsism- depression you're going to be hard pressed to change anything with such methods.
I'm having the latter and the only treatments that work for me is to work out so hard that I'm too exhausted to be pissed off and depressed or constant, intensive and extreme distractions, avoiding idleness and relaxing things like the plague.
Thats my analysis, keep in mind that I'm not a professional.