Ok, after looking up a video on how to reliably do it, you have to grab the first bearing and 5-0 or nose grind the left side of the rail all the way through. If you're going fast enough you should get the transfer without actually transferring (why? I have no idea). Get to the other end of the rail and when you start grinding back, ollie out of the grind, try to get into the blunt/noseblunt on the inner part of the rail, blunts slow you down the most in a grind so you should be able to exit out of the grind after getting the last rail bearing down to the walkway with enough time to get the last bearing assuming the game doesn't make your character freak out and bail for no reason.
It's doable but you basically need to do it EXACTLY as they want which makes it incredibly frustrating especially since the only real clues you get to let you know what to you MUST do is that you need to 5-0/nose grind as part of the challenge which is a hint to keep up your speed.