The low number of feats isn't any lower then normal D&D, unless you always played a fighter or wizard.
The problem with your character concept is he won't live long. You can make him the greatest wrestler in the world using all those great feats, and he'll be quivering puddle on the floor after just a couple of zombies. Or, he'll be shot.
If your building a character around combat, then you're building a character to lose. Actualy if your building a character for CoC, you're building a character to lose. That's actually the point.
An effective CoC is clever. Your not and adventurer, you don't kick in the door and kill everything that is or is not moving and then take all their stuff. Hell most of the time your arn't dealing with monsters. your dealing with people, who may or may not be cultists. May will already be more insane then you. killing them or kicking their ass isn't going to be the best option. In fact kiling things can get you arrested... there are police and laws in this setting.
Also, combat isn't exactly the same in CoC. You don't have Attacks of Oppertunity exactly like DnD. only a few actions cause one, and they don't even call it an AoO. Primarily, its possible to run away from things more safely.
Also, a lot of you seem to be thinking you need to define your characters with feats... No, you define them with skills in CoC. You don't need Mounted feats (there arn't any mounted feats in CoC) you need the ride skill, Handle animal, and maybe animal empathy... skills.
If you are use to playing Fighters in DnD, I can see how you would be combat oriented and feat addicted, but this isn't that game.
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As for using CoC in dnd, Yah it can be done. It works well.
Some one asked how you know spells: well that's easy. Some one teaches you one. These aren't some magic slot in your brain system. sometimes durring the game, you are shown how to cast a spell, and you add that spell to the list you are able to cast when ever you can (by I can I mean that some spells need to be done in a temple, or require sacrifices etc. think of them as really hard Material components... but many are more on the fly)
The problem with learning spells is that doing so drains sanity. every possible way to get a spell will result in sanity loss. casting a spell results in sanity loss. generaly magic = insanity. Actually knowledge = insanity and magic is knowledge. Its learned.
