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Abstract In this work, we address the question of how to enhance signal-agnostic searches by leveraging multiple testing strategies. Specifically, we consider hypothesis tests relying on machine learning, where model selection can introduce a bias towards specific families of new physics signals. Focusing on the New Physics Learning Machine, a methodology to perform a signal-agnostic likelihood-ratio test, we explore a number of approaches to multiple testing, such as combiningp-values and aggregating test statistics. Our findings show that it is beneficial to combine different tests, characterised by distinct choices of hyperparameters, and that performances comparable to the best available test are generally achieved, while also providing a more uniform response to various types of anomalies. This study proposes a methodology that is valid beyond machine learning approaches and could in principle be applied to a larger class model-agnostic analyses based on hypothesis testing.