Investigate issue with split index

[HendrikSchmidt]

Atm StepHistorical leads to issues, because it sometimes drops the complete index. However, the splits are implemented as an index on the DF and so get lost as well/can't be lined up with the result.
This could also lead to problems when trying to do the following:

rec.prep(data=train_df)
rec.bake(data=val_df)
rec.bake(data=test_df)

Investigate if a different setup for the splits might make sense (e.g. dict with three keys, implies changing the dataloader too) or the HistoricalSteps (and maybe more preprocessing) need to be changed.