Ginga Fukei Densetsu Sapphire

The story takes place in 2092, when time travel is common across society. Terrorists have taken to stashing weapons and other contraband in the past, which leads to the formation of a police force (composed only of women) to counter the threat. The game follows the chase of one particularly elusive enemy through time. The game is split across five levels, each taking place in a different times and locations: A futuristic city, the Middle Ages, ancient Egypt and Japan, and finally outer space.

Résumé

Join the four girls pilots part of a futuristic police unit called the Burning Rabbits. Their duty is to go after bandits, to explore the far corners of the universe and to even venture back in time, whatever the risks, to prosecute the worst criminals. Because humanity is now advanced enough to travel through time, this special police force was created to protect society from these new "time criminals". You have four spaceships, to choose from. Each one balances out the next and usually trades off fire power for maneuverability and speed.