One functionality that could be very useful in several domains is to be able to calculate a feature for multiple windows in the past. From example, for a customer calculate the "number of purchases made" in past week, past month, past 6 months and year. The reference time point is the cut-off time point.

One possible solution could be if ft.dfs can take multiple/an array of training_windows as input.

This was also requested by folks at homecredit.eu