Hi Kubilai, Norgate Data offers information regarding historical index membership to subscribers to our US Stock service (at the Platinum level or above) who are using a supported backtesting/analysis platform such as AmiBroker, RealTest, Wealth-Lab or Zipline that is linked to our database. Even then, access to the information is only indirect - for instance, index membership can be stipulated as a buy condition in a system test. There is no calendar or list showing historical additions to, or removals from, an index. We cover Russell 2000 constituents back to July 1990, comprising of over 10,000 companies that were in the Russell 2000 at some stage or are currently in the index. Which backtesting/analysis platform do you use?
Depending on exactly what you want to do with the data, I vouch for Norgate (no affiliation) in conjunction with an analysis platform. It is very easy to include only stocks that were constituents of a given index (eg: Russell) on each day during the backtest, adapting each day to include only those stocks that remained constituents of the index that day and including all stocks that later were removed or were de-listed as long as they were constituents on the day in question. There is no survivorship bias. I hope this helps you.
Siblis Research may have what you're looking for: https://siblisresearch.com/ I've purchased Nasdaq 100 and TSX historical constituent data from them in the past, but not the Russell 2000. They mention Russell on their website however.