The performance of deep learning-based detection methods has made them an attractive option for robotic perception. However, their training typically requires large volumes of data containing all the various situations the robots may potentially encounter during their routine operation. Thus, the workforce required for data collection and annotation is a significant bottleneck when deploying robots in the real world. This applies especially to outdoor deployments, where robots have to face various adverse weather conditions. We present a method that allows an independent car tansporter to train its neural networks for vehicle detection without human supervision or annotation. We provide the robot with a hand-coded algorithm for detecting cars in LiDAR scans in favourable weather conditions and complement this algorithm with a tracking method and a weather simulator. As the robot traverses its environment, it can collect data samples, which can be subsequently processed into training samples for the neural networks. As the tracking method is applied offline, it can exploit the detections made both before the currently processed scan and any subsequent future detections of the current scene, meaning the quality of annotations is in excess of those of the raw detections. Along with the acquisition of the labels, the weather simulator is able to alter the raw sensory data, which are then fed into the neural network together with the labels. We show how this pipeline, being run in an offline fashion, can exploit off-the-shelf weather simulation for the auto-labelling training scheme in a simulator-in-the-loop manner. We show how such a framework produces an effective detector and how the weather simulator-in-the-loop is beneficial for the robustness of the detector. Thus, our automatic data annotation pipeline significantly reduces not only the data annotation but also the data collection effort. This allows the integration of deep learning algorithms into existing robotic systems without the need for tedious data annotation and collection in all possible situations. Moreover, the method provides annotated datasets that can be used to develop other methods. To promote the reproducibility of our research, we provide our datasets, codes and models online.