While I only really touch on this specific topic tangentially, this answer I wrote awhile back does address your question.

The sum of it is that we can trace back with pretty good reliability over 1000 years into the past (assuming of course, that declared paternity is the true paternity...) and there are many, many people who can show you the paper records that connect them back to Charlemagne (and just about anyone of European descent can claim him as an ancestor even if they lack documentation). When you go further back though, records get sketchy, and aside from the fact that you start getting into some pretty funky Norse mythology, attempts to get all the way back two whole milleniums starts to get bogged down in the late Roman Empire period.

You might get more useful input from the family research gang in /r/genealogy. They'll tell you that one's success is very much dependent on which region the family is from and what culture that family belonged to. Some factors include the degree of record-keeping that society did (e.g. govt registers of births, deaths, censuses; religious registers of christenings, confirmations, marriages, burials, etc; family documents like family bibles or other genealogy), how far back censuses go & how detailed they are, and how well preserved and available those records are (many records have been lost due to war and fire), how prominent the family were, whether the family were members of the mainstream religion (vs, say, "outsiders" like Roma), and so on.