do you have an effective coping mechanism for when you're sad

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There's a couple of things.

Heavy leg weight lifting at a gym with either new music or a podcast

or

Biking or Running while listening to music at a BPM that matches your heart rate.

The former helps with insomnia and helps you feel stronger, while the other uplifts and can make you feel energized. Swimming can help with both as well depending on how you approach it.

In terms of non-athletic things, I aim to complete a project or a season of a TV show. Talking to people you're close with and Fellowshiping helps, connecting with family, doing a favor for someone or completing an act of service can help uplift you as well.