ENH: Implement __iter__ for Rolling and Expanding
- [x] closes #11704
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

Hello @charlesdong1991! 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 2020-05-17 08:43:55 UTC Could you also test:

- rolling with an offset: `1D`
- where `on` is specified @mroeschke thanks, I added those two cases of tests, and any further feedbacks are very welcome! thanks @charlesdong1991 very nice! In which pandas version it will appear?

The `pandas-1.04` still shows `NotImplementedError` 1.1 which should come out in a few months