I agree with Kirb-Star and Micbro. SSF2 essentially mimics a 3D render which looks terrible on a 2D sprite that's limiting colors. You might as well use the "Posterize" effect on a render from Smash 4 and call it a day instead of tracing it and directly copying the odd-shading.

You are copying a style, not an art piece. Recognize where it's acceptable to add style and where you have to stick to the fundamentals of the art-form you are using.

Let's try this spriting thing again

Shading is the area you can improve most at looking at that sprite. I feel like most of the shading on that Mario was added simply to add shading rather than actually having it add to the experience. Make sure you to check how shading and light sources actually effects things and go from there.

Took your feedback into thought

Is that Twilight Princess Link in this Wave?

Sprited Mega Man in the style of the Mega Man 6 cutscenes.

Good stuff!