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What is different?
Unlike other RPG series where we are thrown into a different fantasy world, all games of the Persona series takes place in the real world. Even though each of them are not closely related timeline-wise, each game used the same type of game play--and that is to balance between reality and fantasy. What I meant here is that your main character in every game, and other characters--are all highschoolers; and they have to be able to balance their social and educational life in school, while at night fighting enemies and exploring new dungeons. And, while there are so many different aspects to this game, there are also some basic things that you can always remember that will help get you in the rhythm of the game.
In some cases, even an avid RPG gamer will have trouble knowing this concept. This is something different compared to the other RPG series. Because of that, here are some tips/rules on how you should play this game.
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Rule 1: Don't escape random battles
Random battles isn't something new in a RPG series, even though in Persona 4 it cannot be called as a random battle--because of how the enemies are always on the map, and you have to walk to them to fight them. When you do get involved in a battle against enemies, try not to escape it. Persona 4, especially on hard mode, is known to have a sudden difficulty curve. When you think you are just overleveled against the enemies on the dungeon, on the next floor, you might realize that you are actually severely underleveled. If you still have enough HP, try to fight any enemy you see. Of course, you have to observe your enemies and pick a fight. If you are having low MP/low HP, don't even think to fight the big, glowing enemies.
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Rule 2: Save your Healing Spells
One of the biggest problem in Persona 4 is that there aren't many ways to restore your MP, and even MP-healing items aren't store in the store. Because of that, gamers tends to rely on the healing spells. If you are one of the people who used healing spells, try not to do it except when you are really in a cinch without any items left. Try to buy more items at the store and focus on both HP and reviving items. Do not buy attack-increasing items/defense-increasing items. They wouldn't make much difference against the enemies in-game.
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Rule 3: Social Links
Even if you are only playing this game for the challenge and the storyline, don't even forget to maximize your social links. Social links played a huge role in Persona 4, and that is to fuse new Persona. Every time you have ranked up on social link, you will get extra experience when fusing a certain Persona, and once you maximize it, you will get one unique new Persona with higher stats compared to the other ones. Some Persona are just hard to level up and to get new moves. Because of that, it would be much better if you can receive extra EXP to decrease the amount of time you have to grind.
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Rule 4: Continously Create New Persona
You won't survive in this game if you decided that your Persona is already strong enough to decimate every enemy on your way. Try to create new Persona after clearing/during a dungeon. Every Persona have different elemental and different attacks, but some of them are limited in moves and leveling up. What I meant is that a Persona's level is limited. There will come a time where your Persona will learn every possible moves available and it cannot receive more experience. In this case, make sure you have registered it on the Persona Compendium, then use it to fuse new ones.
You should never ever rely on Persona obtained during a Shuffle. They were meant to be fused, not to be used as your main Personas. Usually those type of Persona have lower stats and mediocre moves, and serves as a medium to create a new Persona when fused with your trained one.