[antonvs]

See: https://en.m.wikipedia.org/wiki/Lucas_critique

At a high level, it argued that basing predictions on historical data is problematic. The details of the argument are somewhat specific to economics, but the principle is more general. That's also why people recommending stocks say "past performance is no guarantee of future results."

One of the key issues is that circumstances change, and information about such changes will often be external to a data set.

In the Lucas critique, policy changes are an example of this. You can't predict future economic performance based on past economic performance if relevant policies have changed. But any complex situation has such factors that are external to the data that one can easily collect about it.