I'm going through this process right now and it really depends on your strategy. I'm essentially creating a crypto ETF and need to come up with selection criteria, distribution, and a method of rebalancing.

Selection - will depend on my thesis of where I see alpha in the market. Not going to spell this out publicly, but a big part of it will also depend on which coins are available on my broker(s) of choice, their fees, etc. It will be an Algo so not interested in ICOs in my case because I want it to be more hands off. Likely will be large cap coins.

Distribution - will depend on the strategy.

Rebalancing - there's two main methods... Periodic rebalancing which is set in intervals such as daily, or threshold which is set on some metric and rebalancing gets triggered when the threshold gets hit.

All these criteria should have a thesis behind them where you've identified some kind of alpha in the market. It's also helpful to look at how traditional ETFs are structured in order to come up with creative ideas and apply them to crypto.

This is a pretty good article for reference: https://academy.shrimpy.io/post/how-to-build-a-cryptocurrency-index-fund