The question of trader failure rates is one that gets talked about pretty regularly here, and in many other places. You need look no further than the 90% of traders lose money? thread, which started back in 2006 and continues to generate discussion!
As some members know, about a year ago I finished up my PhD. My research focus was on the performance of retail traders, particularly those in the forex market. For my work I was able to use a data set of actual trading and returns. Obviously, it didn't cover every trader, but I do think it is probably pretty representative of the broad trading community.
I used that data to do some digging into trader success rates, especially with respect to persistence of winning over time. Here's a report I wrote up based on what I observed - Real Trading Returns.pdf. Give it a read and feel free to share your thoughts, comments, etc. I'm always interested in extending the research and making it more useful.
On a related note, because the folks in academia don't really know much about the structure of retail forex, I had to dedicate a whole chapter of my dissertation to explaining it. Some of you - especially newer traders - may find it informative. I should warn you that it's an academic piece, and the writing style reflects that. You can download a copy of it here. I mention this because the structure of the market does very much play a part in trader success rates.