Make sure you have data first

"I have no data yet. It is a capital mistake to theorize before one has data. Insensibly, one begins to twist facts to suit theories instead of theories to suit facts."

Sir Arthur Conan Doyle (Sherlock Holmes), as quoted by John W. Moffat in "Reinventing gravity" (p. 156).

This statement means the same thing as that one from Feynman.