We investigate the current cross-correlations in a double quantum dot based Cooper pair splitter coupled to one superconducting and two ferromagnetic electrodes. The analysis is performed by assuming a weak coupling between the double dot and ferromagnetic leads, while the coupling to the superconductor is arbitrary. Employing the perturbative real-time diagrammatic technique, we study the Andreev transport properties of the device, focusing on the Andreev current cross-correlations, for various parameters of the model, both in the linear and nonlinear response regimes. Depending on parameters and transport regime, we find both positive and negative current cross-correlations. Enhancement of the former type of cross-correlations indicates transport regimes, in which the device works with high Cooper pair splitting efficiency, contrary to the latter type of correlations, which imply negative influence on the splitting. The processes and mechanisms leading to both types of current cross-correlations are thoroughly examined and discussed, giving a detailed insight into the Andreev transport properties of the considered device.