I too have very high triglycerides. It is nothing you did wrong for your fasting etc. I don't drink and I sorta have a unhealthy diet. They tell me it's genetics, my father had a heart attack and died at age 43. When I first got tested and believe me they ran it twice it was 2,600...I was shocked thinking I did something wrong. So I take fish oil daily and a fenofibrate which it has come a lot but still not where I want it to be.
I just wanted to let you know that you are not alone though you may feel that way!