I want to know which compatibility level I should set in SQL Server 2019 after the upgrade?
Ideally it should be be 150 which is SQL Server 2019 compatibility level. And if some query, may be due to regression are not performing poor you can use query hint QUERY_OPTIMIZER_COMPATIBILITY_LEVEL_n
to 110 or 130. The issue should ideally come when moving from SQL Server 2012 to SQL Server 219 due to cardinality estimator change.
When moving from SQL Server 2016 to SQL Server 2019 you should ideally not face regression issue. where query running fine in SQL Server 2016 starts taking long time in SQL Server 2019 without any proper reason.