Well i never made one so here's an attemp at it.
Helm: Shako, CoA
Armor: G-Angel<----recommended, Enigma, CoH
Weapon: that cool Eth PB you got
. (Actually, i got a question, the elemental damage donne by Vengence is by percent, so is it by percent compare to the weapon damage? or something else?)
Shield: HoZ
Ammy: Maras, Armageddon Slippers
Rings: BK, Sojs
Belt: Dungoes
Gloves: Bloodfists, Rare Gloves with IAS + FHR <--- dunno if they exist
Boots: Eth Sandtreks, Grimspurs
Charms:
10xPally Gcs
9xresis all + mods scs
1xanni
Skills:
20 Light Resis
20 Fire Resis
20 Cold Resis
10 Conviction (you can add some points here to reach the lvl 25 cap)
The rest in vengence
Why I recommend Gangel? well it's because if you max the resis auras, which are synergies for Vengence. And you get +1 to max resis for each 2 points you invest in the resis aura as a passive skill so with G-Angel, you'd have a nifty 95%resis all all the time.
You could also invest your points like this
10 lite resis
10 cold resis
10 fire resis
10 conviction or more
the rest in either Vengence or Salvation, which ever add more damage
EDIT: I just reread the other pst concerning the Avenger, and the elemental damage added by % to the physical damage you already do, so you'd need a high damage wep like BotD.