Maybe it depends on the niche you are in. In my niche, I get about 40-60% recorded clickthrough rate for most of my sites (which means at least 40-60% of them are being tracked by my cookie), and out of those 4.5-7ish % buy something. I've been in some niches where the numbers were much higher.
I imagine if you are selling in niches where people are tech savvy, you'll have lower chance of sticking a cookie. Maybe I'm wrong, but I get better conversions from amazon than any affiliate program out there.