Thanks for using Cloudera Community. You have 2 ask in the Post:
1. How to configure different Storage Policies with Cold & Hot Data,
2. Applying different Compression Algorithm in 1 Column Family.
For Q2, I believe the same isn't feasible i.e. Compression Algorithm can be set at CF level. Review  for the Compression Algorithm recommendation around Hot & Cold type data.
For Q1, I assume you are referring to HDFS Storage Policy. If Yes, the same is configured uniformly i.e. I am not sure if we can apply different HDFS Storage Policy for different data within the same CF. In HBase, We generally recommend SSD  for WAL, else the HBase Data relies on HDFS Storage Policy used. Alternatively, Use BackUp-Restore  for having a "Cold" Version of Data, which can be restored as per requirement.