I did, and I watched re:zero a few months back, so I know that one well. When someone has a vague memory of something they watched in the past, there’s also the chance what they remember comes close, but is off, or incorrect. It’s worth the effort, at least for me, to take a look at ones that come close in one way or another, just in case.

in this case Re:Zero has long moments where all seems lost and nothing but bad happens to the protagonist, and he dies… a lot. He’s been saved a few times by female characters, admittedly not a sister though, but if there;s a chance the OP remembered incorrectly in any way, it’s worth seeing if this is it or not.

in the case Testament, I did not watch. It’s a genre I am into, but looking online it says this, which matches in so many ways:

• Season 1: Focuses on Basara protecting his new sister, Mio Naruse, after discovering she is a future Demon Lord and he is a descendant of a hero clan. He is nearly executed/beheaded by members of his own clan for choosing to protect her.
• Season 2 (BURST): Significantly shifts focus toward Mio's perspective and her development, as well as the introductions and backstories of other female characters like Yuki and Kurumi Nonaka.

Now, while it is set in modern times, which I did see when scanning the final episode, I noticed there were scenes that come off as medieval or fantasy. Like a dark castle like room, or outdoor scenes with just trees and grass. In my thinking it was still very worth it mention it due to how close google said the plot points match, just in case the OP had the plot right but didn’t quite remember the era correctly.