When Kevin Ross was a stockbroker in Phoenix, Ariz., and the pressure got to be too much, he would slip into a dark room and drape a wet washcloth over his forehead. He wasn't playing with his own money in those days, but the stress could be pretty brutal nonetheless. Then Ross had an epiphany: embrace the pressure and go for broke. Last February he gave up his six-figure income and moved to San Francisco to become a day trader.

He would spend his days planted in front of a sophisticated trading screen, trying to squeeze profits out of tiny changes in stock prices and bid-ask spreads and never holding on to anything past the closing bell. It seemed like a terrific idea and a way to get rich.

It did, that is, until he lost $20,000 in the first month. "Everybody says, 'Cut your losses! Cut your losses!,' but when it comes time to actually do it, you're competing with everyone else who's trying to do the same thing at the same time, making it difficult to find a buyer," Ross explains. "A lot of it is learning the software and the fastest way to get out of a trade. Because, basically, if you hesitate, you lose."

That, in a nutshell, is the dark side of the day trader's life: a split second of indecision can transform a budding Warren Buffett into a broken Willy Loman. While the public is currently obsessed with the few prodigies who have managed to make huge scores, at least half of all day traders burn out or "blow up" within six months, says Alex Stein, an analyst with Gomez Advisors.

Partly that's because it's harder than most people think to learn the new jargon of the trade and its cutting-edge tools. And in part that's because the rules of investing have changed. When you're moving in and out of the market so quickly, critics say, old-line investment techniques like research and analysis go right out the window. "If you want to gamble, go to Las Vegas," says Philip A. Feigin, executive director of the North American Securities Administrators Association. "The food is better."

And the odds are at least honestly disclosed in Sin City. Not so in the day-trading world. Regulators recently brought charges against several day-trading firms, accusing them of inflating their traders' success rates to attract new students. Yet persistent (if not profitable) day traders insist that what they do takes skill and discipline and the right mind-set, and that all those things can be taught. Maybe so. But the School of Hard Knocks has its own lesson book--and a much more precipitous learning curve.

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