Tony Vargas
Legend
First of all 'smart player' is a meaningless canard. Conan, the character, has some remarkable, even inexplicable or superhuman abilities - you can't expect a player to somehow 'skillfully play' those things into existence. Even if he could, he could do it with any character - Merlin or Bob the Baker - and it ceases to be modeling Conan, at all.I agree with your first paragraph and am totally baffled by the second. It doesn't seem to follow. In 5E, High stats + Lucky feat + Alert + smart player = Conan as described above.
What's missing?
In spite of that, the PC you describe /could/ end up playing like Conan - if the DM consistently ignored, over-ruled, and tweaked rules to make it happen. But, again, that's not the system modeling the character, or the player playing the character he wants, that's the DM making something happen by fiat. He could just as easily make your would-be Conan a wuss.
At bottom, though, really REH is missing from that. The kind of plot power that authors exercise to keep their heroes heroic - or alive in spite of their heroism - that D&D only partially captures with hps & saves (and 5e isn't exactly the best at either of those). Abilities that deliver player agency also go a ways towards capturing that aspect of the genre.
Contrast that with a caster character. You may want to play a Gandalf. In some versions of D&D, you could even be some sort of celestial creature to get the Maiar aspect of it, but, mechanically, you could do everything Gandalf actually did as a magic-user with a staff of the magic, ring of fire elemental command, and the ability to cast spells as high as 3rd level. More likely, your D&D Gandalf stand-in is going to be a high-level wizard. If he doesn't start out as such, D&D's zero-to-hero progression will get him there. Before long, he'll be casting more spells per day than Gandalf did in the whole trilogy - and a more varied and powerful selection of spells, at that. And, he won't be doing it because his player is oh-so-'smart' or the DM is bending over backwards to let him go beyond what the rules give him - he'll be doing it because it's there on the character sheet: so many known spells, so many prepared, so many slots/day. Each spell does something specific, powerful, and pretty dependable exactly when the player decides he wants it to happen.
Did Tolkien write Gandalf that way? No. Gandalf hesitated to light a fire with magic. When he killed a Balrog he used a sword and 'grappled' with it in a mythic contest. He didn't blast it with a spell combo.