The predictions of click through rate (CTR) and conversion rate (CVR) play a crucial role in the success of ad-recommendation systems. A Deep Hierarchical Ensemble Network (DHEN) has been proposed to integrate multiple feature crossing modules and has achieved great success in CTR prediction. However, its performance for CVR prediction is unclear in the conversion ads setting, where an ad bids for the probability of a user's off-site actions on a third party website or app, including purchase, add to cart, sign up, etc. A few challenges in DHEN: 1) What feature-crossing modules (MLP, DCN, Transformer, to name a few) should be included in DHEN? 2) How deep and wide should DHEN be to achieve the best trade-off between efficiency and efficacy? 3) What hyper-parameters to choose in each feature-crossing module? Orthogonal to the model architecture, the input personalization features also significantly impact model performance with a high degree of freedom. In this paper, we attack this problem and present our contributions biased to the applied data science side, including: First, we propose a multitask learning framework with DHEN as the single backbone model architecture to predict all CVR tasks, with a detailed study on how to make DHEN work effectively in practice; Second, we build both on-site real-time user behavior sequences and off-site conversion event sequences for CVR prediction purposes, and conduct ablation study on its importance; Last but not least, we propose a self-supervised auxiliary loss to predict future actions in the input sequence, to help resolve the label sparseness issue in CVR prediction. Our method achieves state-of-the-art performance compared to previous single feature crossing modules with pre-trained user personalization features.