A wave of new treatments and treatment combinations are becoming available for solid tumours. Trials performed to obtain registration establish a positive benefit-risk but unavoidably leave many questions unanswered on place-in-therapy and the relative efficacy of different treatment sequences. Such limitations create problems in terms of strength of treatment guidelines and reimbursement (in countries where a public payer exists). Data on new drugs arriving during the last 10 years for the treatment of hepatocellular carcinoma and renal cancer are reported as an example of how the fortunate condition of having new effective treatments may translate into uncertainty regarding the optimal treatment plan. We suggest that academic research should react to such limitations and propose a model of patient-journey study (PJS), where patients are followed from the initial diagnosis across subsequent lines of treatment. A PJS master protocol might include at each node of clinical decision either the possibility of choosing treatment according to guidelines (generating prospective real-world evidence) or the possibility to randomise where uncertainty exists (generating comparative effectiveness data). PJS protocols might be adaptively modified every time a new drug arrives on the market. Overall, methodologically sound analyses of PJS will produce knowledge on the efficacy and the effectiveness of different treatment pathways and might significantly optimise treatment of patients in clinical practice. PJS would represent a jump from a few snapshots (trials performed to get regulatory approval) to a full movie (evidence on the relative value of treatment pathways).