Ask which universe it used. Today's members, or the index as it actually stood on each date. A survivor list and a point-in-time list are two different tests wearing the same chart.

The deletions are the data. A name leaves the index because it shrank or blew up. Cutting it out is cutting exactly the loss you would have lived through if you had been in the market the whole time.

Backtest the rule, not the roster. A real strategy has to say what it buys and sells when a name falls out. Not quietly assume that name was never there.