For cross-validation and cross-testing, data are divided into two separate sets only once: a cross-validation set and a test set.

Similar to typical cross-validation, a number of iterations are carried out to choose the best parameters for the final model on the test set. Once the best combination of parameters has been chosen, the prediction accuracy and statistical significance can be evaluated on the test set with a modified cross-validation such that for each fold the original cross-validation set is repeatedly added to the training data. Due to the similarity to cross-validation, we term this approach cross-testing. While making it impossible to pick one final model on additional unseen data, the parameters that have been chosen remain interpretable.