Let $X$ be a linear space with a family of complete norms $(\| \circ \|_I)_{I \in \mathcal{I}}$ on $X$, i.e. for every $I \in \mathcal{I}$ the tuple $(X,\|\circ\|_I)$ is a Banach space. Now define $$\| x \|_\infty := \sup_{I \in \mathcal{I}} \| x \|_I \in [0,\infty]$$ for every $x \in X$ and $X_\infty = \{ x \in X ~:~ \|x\|_\infty < \infty \}$. It is easy to see that $(X_\infty,\|\circ\|_\infty)$ is a normed space. In particular, $X_\infty$ is a linear space.
Is $(X_\infty,\|\circ\|_\infty)$ a Banach space, i.e. is it complete?
My guess would be negative, but I can't come up with an (counter-)example.
What I have tried so far: It is easy to see that if $X$ is finite-dimensional and $\mathcal{I}$ is finite, then $(X_\infty,\|\circ\|_\infty)$ is again complete. Therefore I asumme that either I have to find many "incompatible" norms on a finite-dimensional space, or only "a few" norms on a "complicated" space. I would appreciate hints for either direction.