diff --git a/tscv/_split.py b/tscv/_split.py
index 31e6521..b516414 100644
--- a/tscv/_split.py
+++ b/tscv/_split.py
@@ -163,12 +163,16 @@ def __complement_masks(self, masks):
 
     def __complement_indices(self, indices, n_samples):
         before, after = self.gap_before, self.gap_after
+        allindices = np.arange(n_samples)
         for index in indices:
-            complement = np.arange(n_samples)
-            for i in index:
-                begin = max(i - before, 0)
-                end = min(i + after + 1, n_samples)
-                complement = np.setdiff1d(complement, np.arange(begin, end))
+            # split index in subarrays of contiguous elements
+            subindexes = np.split(index, np.where(np.diff(index) != 1)[0] + 1)
+            complement = allindices
+            # find complement on arrays of contiguous elements
+            for subindex in subindexes:
+                begin = max(0, subindex[0] - before)
+                end = min(subindex[-1] + after + 1, n_samples)
+                complement = np.setdiff1d(complement, allindices[begin:end])
             yield complement
 
     @abstractmethod