Good game. Gon and Kenshiro appear as the final challenger far too often though, and nothing's more annoying than building up the entire game in hopes of beating one of the unbeaten final challengers and you plow through the easy Gon or Kenshiro way before you're done leveling and don't get a shot at any of the others.
It seems like you should have about a 1/8 chance of encountering any of the final challengers, but in practice Gon and Kenshiro appear far more often than any of the others, and this is evidenced by how many people have beaten those two versus some of the others as well.
As someone else pointed out, speed and dodge aren't consistent and clearly the computer opponent always gains some edge, but as long as the player is aware of this it's not too much of a problem -- just know that you'll need a lot more speed/dodge to "match" a much lower opponent's speed/dodge.
For strategy, you're going to have to decide what kind of build you want, complete with tradeoffs. Generally, a heavy-hitter but slower fighter, or a faster but weaker fighter seem common. You can try to match out everything, but then you'll end up with just sort of "jack of all trades master of none" type fighter who you might be able to get through the game with (especially against the easy Gon or Kenshiro) but there's a good chance you'd lose at any of the others with that build.
I've tried out stick-thin speed/dodge build someone else mentioned. It's not great. Yes you'll win against Kenshiro despite having less than 5 health but you're relying a lot on luck and don't really stand a chance against most of the other final fighters.
Sumo build is okay but isn't that great for pretty much similar reasons. If you go for sumo build, you're going to have to put a lot of points in speed and dodge, probably more than you'd want, ending up more as a "jack of all trades master of none" build rather than sumo.
I tend to lean toward Endomorph builds with specialty in at least some speed/dodge. Sumo just isn't a good choice with this as you'll end up too slow. Although Ectomorph + Sumo might be interesting.