We analyze the impact of the preference for high volatility stocks on the day trading performance of retail day traders in Taiwan from 1995 through 1999. We find that, on average, individual day traders are unable to enhance performance through day trading high volatility stocks. Further, only day trading winners are able to earn money through day trading high volatility stocks because they do not suffer from overconfidence but benefit from their prior experiences of day trading in those stocks. Our findings suggest that individual investors should not actively day trade stocks unless they have sufficient experience and familiarity.