Summary We consider optimal dynamic treatment regime determination in practice. Model building, checking, and comparison have had little or no attention so far in this literature. Motivated by an application on optimal dosage of anticoagulants, we propose a modeling and estimation strategy that incorporates the regret functions of Murphy (2003, Journal of the Royal Statistical Society, Series B 65, 331–366) into a regression model for observed responses. Estimation is quick and diagnostics are available, meaning a variety of candidate models can be compared. The method is illustrated using simulation and the anticoagulation application.