I felt awful on sertraline too, and the GP kept upping it and insisting I would improve. At the end of an awful couple of months I asked to try citalopram. The improvement was very quick when i switched, within 2 weeks I would say.
I'm on 20mg of citalopram currently. I have tried to increase to 30mg previously as was struggling a bit yet I had all the terrible effects that I had so badly with sertraline (sweating, pounding heart, dizziness,ringing in ears, I felt on edge all the time it was awful) so went back down to 20mg.
So I think dose is just as important as the medicine type, iyswim. You also need to trust your instincts as to whether you think it's working - GPs often say stick it out, or increase the dose, but I've always known quite quickly if something is working for me or not, and I've always been right.
I still feel nervous, anxious, heart pounding on 20mg at times, but generally it feels much more 'manageable'. I've accepted this is the right dose and right medicine for me, it's not perfect by a long shot, and there have been some ups and downs in getting to this place!