For example, if you can climb 5.9 indoor, is it the same as 5.9 out on the real rock doing sport climbing?
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As I always say the ratings are all relative. In theory yes they are the same. But a 5.9 for me can be a 5.11 for you and vice versa. It mainly has to do with height, arm reach, and technical skill. I wouldn’t focus on the grading too much. But to answer your question yes it should be the same, but I find indoor rock climbing to be easier than outdoor. Also, I think the grading is more conservative (easier) out west then it is on the East coast for outdoor rock climbing different types of rock different types of holds.
If you are used to climbing inside it will always be different when you are climbing outside, and a little bit harder at first. Also, the grades all depend on where you go. For example, I went to Hueco Tanks and I couldn’t climb V5, but in Austin I was climbing V6.
Generally, most people say that a 5.9 indoor climber is a 5.7 outdoor climber, but it is very subjective. This “rule” is because there are just so many gyms out there, some of which will claim that this route is a 5.10, but really is much easier. The routesetter may not have experience or is looking to get some regular climbers to come to the gym. However, I have been to some gyms where the routes are definitely comparable to outdoor routes. And, as the poster above me said, even outdoor routes are subjective. For example, Joshua Tree ratings are notoriously underrated. Most people claim that a 5.8 in Joshua tree is like a 5.10a in other places. So always ask the locals. They may give you a better idea of the difficulty than the guide book.
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