Yes, you will need to file both an IN and CA return.
Your W-2 is correct. "Full-year Indiana residents must report all income that is reported for federal income tax purposes on their Indiana individual income tax return (Form IT-40). This includes all income, even if it is derived from sources outside Indiana."https://www.in.gov/dor/files/ib28.pdf
You will file the CA state as an NR first and then you will take a credit for taxes paid to the other state on your IN return.
If CA is trying to tax you on the sale of your mutual funds, this may be because you are filing a part-year resident return. If you were a Nonresident, then you will need to change the filing status on your CA return if it is showing you as Part-Year.
Lastly, because you were in California for 4 months, here is a link with more information on determining your residency status. https://www.ftb.ca.gov/individuals/filertn/nonresidents-part-year-residents.shtml#residency_status
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