Believe me, I am more than aware of the perils of overfitting! The purpose of my comment isn't to say that using Shiller's P/E ratio is a good way to make mone

Believe me, I am more than aware of the perils of overfitting! The purpose of my comment isn't to say that using Shiller's P/E ratio is a good way to make money. In fact, I'm essentially saying the opposite - that while I think the research is good, it would be an inappropriate tool for most individual investors, because of the length of the required time horizon, and the length and magnitude of the drawdowns you'd have to endure. As an aside, I believe that your criticisms of economics are misplaced. Certainly there is plenty of poor research and curve-fitting that gets published in journals of economics. But there are also extremely capable economists whose understanding of data-mining bias and overfitting is far in advance of yours or mine, and who are extremely careful when evaluating models using historical data.