An update.
After the FTX collapse I used an opportunity to rebuild my crypto index portfolio. This time I decided that the market is right and made a strictly market capitalization weighted portfolio. The procedure is outlined above.
I was hesitating very long time about how many coins to take. Too little felt like not representative enough, too many is lots of hassle. Finally I converged to the top 20, which for extremely top-heavy crypto market is already very deep into low weights. I finally took a relaxed approach to it and proceed pragmatically, not trying to rigidly follow my own rules.
Almost all coins are stored in a self-custodied Exodus wallet.
The procedure of the last couple of months is the following: every week I transfer a fixed CHF amount via a standing order to Kraken, buy BTC with it and transfer BTC via Lightning Network to my mobile Exodus wallet. I explore options for depositing accumulated BTC to my base layer BTC address, but there is no hurry.
Based on my total BTC holdings and using current prices and Dominance data from coinmarketcap.com, I can calculate how much of other coins should be in my portfolio. As the portfolio is market capitalization weighted, I always have to add, never remove holdings. I should remove the coin completely if it is not in index anymore, but I am also pragmatic with it and often just keep it if it is a well-known one, not one time moonshot.
I am trying to do the full rebalancing, including adding missing amounts, once per month. ETH and sometimes other top 5 coins I check and add a bit more often.
I started to buy ETH as ARBETH at bitfinex and transfer out to my main wallet. The idea is to deposit at some point ARBETH to bitfinex and withdraw on the base layer of ETH, but again there is no hurry.
Most other coins I buy at bitfinex and transfer directly to the wallet. Some I buy via fixedfloat.
Concerning my P&L, at some point I was at almost -80%. With the steady accumulation and recent increase of crypto prices, now I am less than -15% in loss.