SQL Server 2008 | SQL Server 2008 R2
In addition to my blog posts about back-testing Data Mining Results (see part 1, part 2 and part 3) I also wrote a Books Online Community Article that covers the topic at a more detailed level. The article can be downloaded here: http://msdn.microsoft.com/en-us/library/gg557481.aspx. The sample data and solution is available for download. The link is provided in the article.
You will find all the Community Articles for SQL Server 2008 here: http://msdn.microsoft.com/en-us/library/cc872864(SQL.100).aspx