What can the Roman Empire teach us?

Everyone thinks of the Romans as "winners". They conquered the world, they never lost wars and they were a race of winners. 

Untrue. 

Rome's success wasn't built on winning. Rome was built on going on with determination in spite of losing many wars and many lands. Early in Roman history, the Greeks and the Carthaginians (a Middle Eastern power based in North Africa) both invaded Italy and almost
 destroyed the country, leaving Rome with very little land in central Italy (many hundreds of years before it became the Empire we know). But the Romans never gave up. They kept losing battles and soldiers, but they kept coming back to the battlefields. They never gave in. And eventually, after decades and even hundreds of years of slow and grinding warfare, the Romans eventually conquered Greece and completely destroyed the Carthaginians (literally. They wiped out every city and every living being).

The key to Roman success was thinking not about success but about how to never accept defeat. Rome began not as winners but as a civilization that was almost destroyed twice (285 BC & 201 BC). But that created the resolve in them that would create the Roman Republic and the Roman Empire and rule the world till the Fall of Constantinople in 1478 AD.

This is the thinking we should all apply in our lives. It's not about always winning and being ashamed of failure. It's about picking up the pieces and having the resolve to learn from disaster and quickly adapting and coming back to the battlefield. Those who always win have never been tested. And those who have never been tested will never be great. If your life at the moment is full of failures and setbacks, you aren't a "failure". You are someone who is being given the opportunity to adapt and learn and fightback. Embrace failure.

(References: Punic Wars, Macedonian Wars, Invasion of Pyrrhus, Seleucid Wars, Destruction of Corinth & Destruction of Carthage)

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