What to do when research leads to poor results?
I recommend that you record your failures and not just your successes.  In your case, I suggest you write a technical report giving all the details (the implementation, the comparison, the conclusion).  It may not be considered as a publication worthy of your resumé, but at least it serves to document your efforts and may prove to be useful in the future (in case other people are thinking of using your proposed method).

Also note that your method may appear worse when compared to others using a certain metric (say, time complexity) but may appear better when compared to others using a different metric (say, space complexity).  You might want to look at your method again.