I think the key to avoiding depression is to have a good idea from the start, not something that relies on advertising to make money
You're confusing "likelihood of success" with "likelihood of continued success". There were a lot of competitors to be eBay, Netflix or Amazon. Most startups will fail. Those that eventually succeed will often look like they are going to fail. Devoting 1/5 of your productive life to something that fails is pretty depressing.