Before you select the best model based on your favorite goodness of fit statistic – Mean Squared Error, Gini, K-S, AUC, or misclassification rate – STOP!  Model performance metrics are not a one size fits all measure.  As an analyst, selecting the right performance metric might mean the difference between having an exceptionally good result, and having no result.   

The classic example:  There is only a 3% prevalence of the event of interest in my…