[spoiler alert]
My favorite strategy for Ches39 is using 13 bishops in the 4 and 3 ranks. That is outside the training set, or at least any sensible training set. (Protip: Learn how to check mate with only two bishops of different colors.)
For the reverse I'd like to give the AI 13 knights, that would overwhelm any human player. I never dare to try it.
And I think the wall of 39 pawns is a good idea for a human, but for some reason the AI beats me anyway.