"One of the things it took me a long time to learn about forecasting is that there's a difference between fitting data to past results and actually making a prediction. A regression model built from historical data is really just a description of statistical relationships that existed in the past." -Nate Silver

See also:

• data dredging
• post-hoc analysis
• remedies
  • bootstrapping
  • cross-validation
  • resampling
• early stopping
• testing hypotheses suggested by the data
• regularization
• higher level: predictive analytics