title: GridSearchCV custom y_train and y_test on each split
body: <p>I am working with time-series data. Each row represents a customer and <code>y</code> is sale. So at time <code>T</code> user might not have a sale, but at <code>T+1</code> sale happened. So that row was a negative class on all previous folds, becomes a positive class on future folds.</p>
  <p>I have a <code>List[(X_train, y_train, X_test, y_test)]</code>, is there a way to inject this list into the GridSearchCV?</p>