Counterfactual prediction methods are required when a model will be deployed in a setting where treatment policies differ from the setting where the model was developed, or when the prediction question is explicitly counterfactual. However, estimating and evaluating counterfactual prediction models is challenging because one does not observe the full set of potential outcomes for all individuals. Here, we discuss how to tailor a model to a counterfactual estimand, how to assess the model's performance, and how to perform model and tuning parameter selection. We also provide identifiability results for measures of performance for a potentially misspecified counterfactual prediction model based on training and test data from the same (factual) source population. Last, we illustrate the methods using simulation and apply them to the task of developing a statin-na\"{i}ve risk prediction model for cardiovascular disease.

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