It wasn’t too long ago that calling someone a data miner was a very bad thing. You could start a fistfight at a convention of statisticians with this kind of talk. It meant that you were finding the analytical equivalent of the bunnies in the clouds, poring over data until you found something. Everyone knew that if you did enough poring, you were bound to find that bunny sooner or later, but it was no more real than the one that blows over the horizon. Now, data mining is a small industry, with entire companies devoted to it. There are academic conferences devoted solely to data mining. The phrase no longer elicits as many invitations to step into the parking lot as it used to. What’s going on? These new data mining people are not fools. Sometimes data mining makes sense, and sometimes it doesn’t. … Stupid Data Miner Tricks: Overfitting the S and P 500