How we ought to live our lives are described similarly by both philosophers. Both reject the way in which traditional morality is founded on rationality and the way in which it attempts to universalise a code of conduct. Sartre believes that it's the person who must choose its own way and there in Thus Spoke Zarathustra, Nietzsche wants people to get rid of sklavenmoral (slave morality) and become themselves.
Both decry our blind acceptance of social mores: Sartre gives the example of a waitress who thinks that he is nothing more than a waitress and Nietzsche gives the example of last men.
Nietzsche is an immoralist according to himself. He believes that absolute morality forces moral values on everyone in a society which advance the interests of only one group of people and labels the rest as "sinners". He holds that the traditional distinction between good and evil had arosen from the perspective of a group he called "slaves", and insists that, like everything else, morality is conditioned by perspective.
For Sartre, our consciousness gives us the ability to be aware of not only how things are, but how they are not, which bestows us the skill to create a world which is different from the one we see before us. Human condition (consciousness) is something that allows us to see what's going and what isn't going around us. This consciousness gives us the absolute responsibility for our actions. However, many try to avoid this responsibility and feel Anguish. Thus, we fall into bad faith and blame others.
Slave morality and bad faith
Both ideas say that human beings are evading responsibility.
For Sartre, evasion is from absolute freedom. For Nietzsche, we hide our passions, our will to live, and our will to power from ourselves by invoking god and traditional morality. Take envy as an example:
In Sartre's sense, it's okay to be an envious person so long the individual can confess that he is indeed an envious one. Those who try to deny this fact and conceal their envy are in bad faith. In Nietzsche's sense, envy is regarded as a sin by Christianity, in the minds of timid slaves, who couldn't stomach the people who made them envious, not for the sake of virtuousness, but because they had no potential in becoming the people who made them envious.
Some passages in Sartre seem to echo Nietzsche's declaration that we must invent our own values through a process of independent self creation: "This is my way, for the way that doesn't exist."
Nietzsche's übermensch is a man who actively chooses values in a very Sartrean way.
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