Well, one approach would be to use the Aux1 or Aux2 fields in each symbol to flag when it is in the index (ie set it to 1 when it’s in the index and 0 when it’s not). You’ll first need to check your data update from your current data feed doesn’t use or overwrite that column.
It will be a bit of work to format your data and import it, but once its done you can just use that value as a filter.
For importation you’ll ideally need one row per symbol / date combination. You could do this using Excel and it’s Transpose feature to move the dates from columns to rows, and then splitting the file into multiple files, one per symbol, or replicating the rows in the file once per symbol. Alternatively you could write some Amibroker code that loops through the input file and creates a new output file that has symbol / date / index status columns for all symbols and dates.
Once you have that, you can import the data to the Aux1 or Aux2 fields using Hybrid Import.
Then in your strategy code, you can build an array that detects if the stock was in the index on a bar-by-bar basis.
IsInIndex = Aux1 == 1;
Buy = IsInIndex AND ...