CLN: Split test_window.py further
closes #19228
xref #26807
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] passes `black pandas`

Just splitted code into files by classes. No changes made to code

cc @jreback 
Not sure we need this (probably should have closed first issue after last PR). Any interest in parametrizing instead? Opened as per @jreback's [comment](https://github.com/pandas-dev/pandas/pull/27275#issuecomment-510564495). My mistake! Though would still take parametrization (separate PR is fine) if you are up for it @WillAyd thanks for suggestion noted that If this is a pure split, then I would be in favor of merging this. thanks @ihsansecer 