We propose a numerical methodology for detecting periodicities in unknown colored noise and for evaluating the ‘significance levels’ (p-values) of the test statistics. The procedure assumes and leverages the existence of a set of time series obtained under the null hypothesis (a null training sample, NTS) and possibly complementary side information. The test statistic is computed from a standardized periodogram, which is a pointwise division of the periodogram of the series under test to an averaged periodogram obtained from the NTS. The procedure provides accurate p-values estimation through a dedicated Monte Carlo procedure. While the methodology is general, our application is here exoplanet detection. The proposed methods are benchmarked on astrophysical data.