Melancholy vs sadness?

so guys I took the word Melancholy and like ummmm I knew what it means, but I forgot. Most people say it means sad, but my English teacher said something else 7 months ago. Yeah I'm just curious and the word is in my mind .... it means something more.... I know it means more. Can someone give me an example in a simple sentence between Melancholy and sadness and the difference between them. PS: THIS IS NOT HOMEWORK I AM IN SUMMER I AM JUST CURIOUS!!!!!!