In contrast to R you cannot get the name of variables that got handed to a function (well at least if you don’t want to write a macro).
Instead, it’s better to provide names explicitly and use some data structure for that, e.g., a dictionary:
newcols = Dict(:variable_1 => Set([...]), :variable_2 => Set([...]))
for (col, vals) in pairs(newcols)
df[:, col] = in.(df[!, :DATE], Ref(vals))
end