TST: Add test for rolling window, see GH 34605
- [X] closes #34605 
- [X] tests added / passed
- [X] passes `black pandas`
- [X] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [ ] whatsnew entry

Dear maintainers,

I'm opening this PR to address issue #34605.

~I've made the test conditional to Python 3.8 as I'm using the positional only syntax as strong check. If this is not desired, let me know and I will change the function to explicitly check for the length of `*args`.~

Edit: maybe the usage of `parametrize` is a bit exaggerated here.
Edit2: Using Python 3.8 only features does not pleases the tests. Updating.
Hello @gglanzani! Thanks for updating this PR. We checked the lines you've touched for [PEP 8](https://www.python.org/dev/peps/pep-0008) issues, and found:



There are currently no PEP 8 issues detected in this Pull Request. Cheers! :beers: 

##### Comment last updated at 2020-06-15 06:54:55 UTC @mroeschke Thanks for the review Matthew, I think I've addressed all your points. Looks good. I think our CI is having issues currently, so we can probably merge this once that is fixed. lgtm. yep can merge once CI is good. @gglanzani can you merge master? @WillAyd Done thanks @gglanzani 