Bragging may be more useful. I came up with that idea after reading this: http://slatestarcodex.com/2014/08/16/burdens/

If depressed people feel like burdens on others i.e. have low self-worth,self-esteem, it may be better to boost that than to feel lucky.

I mean, I always had this opinion, I felt good about myself, why would I have a reason to feel bad about anything? To feel still worthless but lucky - which gratitude exercises may cause - does not sound like fixing it. The opposite extreme, feeling worthy and great but unlucky, would sound quite cool to me, it sounds like being a tragic hero whom people respect.

That is why I think bragging, feeling better about yourself, may be a good idea.