[Abridged] Although galaxies are found to follow a tight relation between their star formation rate and stellar mass, they are expected to exhibit complex star formation histories (SFH), with short-term fluctuations. The goal of this pilot study is to present a method that will identify galaxies that are undergoing a strong variation of star formation activity in the last tens to hundreds Myr. In other words, the proposed method will determine whether a variation in the last few hundreds of Myr of the SFH is needed to properly model the SED rather than a smooth normal SFH. To do so, we analyze a sample of COSMOS galaxies using high signal-to-noise ratio broad band photometry. We apply Approximate Bayesian Computation, a state-of-the-art statistical method to perform model choice, associated to machine learning algorithms to provide the probability that a flexible SFH is preferred based on the observed flux density ratios of galaxies. We present the method and test it on a sample of simulated SEDs. The input information fed to the algorithm is a set of broadband UV to NIR (rest-frame) flux ratios for each galaxy. The method has an error rate of 21% in recovering the right SFH and is sensitive to SFR variations larger than 1 dex. A more traditional SED fitting method using CIGALE is tested to achieve the same goal, based on fits comparisons through Bayesian Information Criterion but the best error rate obtained is higher, 28%. We apply our new method to the COSMOS galaxies sample. The stellar mass distribution of galaxies with a strong to decisive evidence against the smooth delayed-$τ$ SFH peaks at lower M* compared to galaxies where the smooth delayed-$τ$ SFH is preferred. We discuss the fact that this result does not come from any bias due to our training. Finally, we argue that flexible SFHs are needed to be able to cover that largest SFR-M* parameter space possible.