I wonder ow to construct an Survivorship Bias free asset lists?

If you mean with "Survivorship Bias" the survivors of a stock index, add removed stocks and their history for constructing a bias free list.

if only add removed stocks to asset list file seems not enough. Because at first, it was not in the index then it came in the index, and then it is removed from the index. In the script, I need know when it is in the index and when it is not. Is that possible?

I had a similar issue, but concluded that Zorro just can't do it.

jcl, it would be nice to have an AssetRemove() function, just like AssetAdd().

Historical index consituents are available from various data vendors like EODHD, FMP, etc.

That information can then be translated into assetAdd and assetRemove calls during a backtest.

This way, the backtest results on index-related strategies or indicators (e.g. breadth) will not have survivorship bias, and be more accurate.

I do not understand your difficulties, why do you not simply trade the asset only while it is in the index? This is just 1 line of code.

in a multiyear backtest of index components, e.g. SP500, the components change as the index gets rebalanced. the SP500 components today, is not the same as those in 2022, etc.