refactor tests to get rid of duplication

[rongou]

@RAMitchell @hcho3

[rongou]

@RAMitchell @hcho3 do you know why the python test is failing? This PR only changes c++ tests, so shouldn't affect python tests at all, right?

[hcho3]

@rongou The failure is due to out of memory error.
I am taking a day off tomorrow to sort out CI issues. In particular, all Linux tests should be moved to Jenkins to use machines with bigger memory.

[codecov-io]

Codecov Report

Merging #4358 into master will decrease coverage by 0.03%.
The diff coverage is 100%.

@@            Coverage Diff             @@
##           master    #4358      +/-   ##
==========================================
- Coverage   67.96%   67.93%   -0.04%     
==========================================
  Files         132      132              
  Lines       12251    12239      -12     
==========================================
- Hits         8326     8314      -12     
  Misses       3925     3925

Impacted Files	Coverage Δ
tests/cpp/helpers.h	100% <ø> (ø)	⬆️
tests/cpp/data/test_sparse_page_dmatrix.cc	100% <100%> (ø)	⬆️
tests/cpp/helpers.cc	93.13% <100%> (+2.22%)	⬆️
tests/cpp/predictor/test_cpu_predictor.cc	100% <100%> (ø)	⬆️
src/tree/updater_colmaker.cc	39.64% <0%> (-0.12%)	⬇️

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