Grid_Search Functionality?

for train_idx, test_idx in cv:
    X_train, y_train = X[train_idx], y[train_idx]
    X_test, y_test = X[test_idx], y[test_idx]
    
    pip.fit(X_train, y_train)
    y_pred = pip.predict(X_test)
    
    print (roc_auc_score(y_test, y_pred))
    
0.70326179109
0.702470985203
0.704665014308
0.698426180489

vs:

score_saga_l1 = cross_validation.cross_val_score(
    pip, X, y, cv=cv, n_jobs=5, scoring='roc_auc')

print (score_saga_l1)
[ 0.78036929  0.77716077  0.78371017  0.77667738  0.78177823]