I don't think it's possible to pick a single greatest of all time. The sports are simply too different and each sport has had somebody who dominated for a period of time.
Even taking it down to a single sport, I think it would be difficult to pick a single person to be the greatest of all time. Even the sports change over time to the point where previous greats would have a difficult time competing in the current style of play, and vise versa.
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