Thank you for the additional information.
Nausea and other GI side effects are the most common side effects from the sertraline. If the sertraline has helped, but has not worked completely and is causing side effects, then the usual next step would be to try a different antidepressant in a different chemical class that hopefully will work better without causing the side effects. Of course, there is no medicine that will never cause side effects, but different medicines will typically be tolerated better by different people.
Although there are many options, the antidepressants that I would usually consider in this situation would be either Wellbutrin/bupropion or Remeron/mirtazapine. Both have a low incidence of nausea as a side effect. The Wellbutrin has been more used, but the mirtazapine is more sedating, so may help more with sleep.
I would note that there are limited studies on the use of medical marijuana for depression and anxiety, and while there are some studies that show that it can help some people, there are also some studies that indicate that it can also make some people worse. If you find that it helps you and you live in a state in which it is allowed, then you can also discuss this with your doctor.
If I can provide any additional information, please let me know.