With the genomic revolution and the era of targeted therapy, prognostic and predictive gene signatures are becoming increasingly important in clinical research. They are expected to assist prognosis assessment and therapeutic decision making. Notwithstanding, an evidence-based approach is needed to bring gene signatures from the laboratory to clinical practice. In early breast cancer, multiple prognostic gene signatures are commercially available without having formally reached the highest levels of evidence-based criteria. We discuss specific concepts for developing and validating a prognostic signature and illustrate them with contemporary examples in breast cancer. When a prognostic signature has not been developed for predicting the magnitude of relative treatment benefit through an interaction effect, it may be wishful thinking to test its predictive value. We propose that new gene signatures be built specifically for predicting treatment effects for future patients and outline an approach for this using a cross-validation scheme in a standard phase III trial. Replication in an independent trial remains essential.