Red Blade.

Living a troubled home-life, a teenager becomes so stressed out with everything around her that she disappears into a series of fantasy-related books. While trying to escape her situation, she soon finds herself living in feudal Japan with a ninja master and his students who inform her that she's in a separate dimension from her regular life and are to help train together in the way of the ninja. When the training's complete, the girls learn that an evil warlord that left them orphans has intentions on killing them all as well, forcing the girls to team up together with all their training to defeat the madman and live in peace again.