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I made this company out of my Warhammer Fantasy models. It includes Empire State Troops (Armed with swords), Empire State Troops (Armed with crossbows), Greatswords, A Captain, and if I ever get lucky enough to buy a horse in game Empire Knightly Orders. I made this company out of them, and was wondering if it is any good.
(I am using the living rulebook, and the company is the standard 500 gold)

Wouldn't a buckler be better for the swordsman? I believe it is cheaper, too, so you could upgrade the other warrior to a swordsman as well.

(It's been a while so if I am wrong, apologies)

I'd need to know what kind of Mordheim game you are playing - one-offs, campaign, rpg-ish?

If you're playing with like minded folks in an RPG-ish type game, then your band is a good one, since you like it.

I've only played in campaigns, with pretty cut-throat opponents, so the following is from that angle:
1) strength is cheaper than armor. Any armor you buy early is pretty wasted, as criticals and S upgrades are easy to get, and in many cases ignore armor outright
2) more bodies are always better. Max heroes, always, and high warband numbers. My man bands never leave with less than 11 or so members. Double-teaming is hugely helpful in the game.
3) dual clubs, club and dagger, for most henchmen until they either get promoted to hero, or get stat bumps you can then tailor with equipment. Helmets are usually decent for major heroes (ie not youngbloods)
4) you always want a little shooting to keep your enemy honest, cheap is best early, as the usual bs3 is only marginal to hit with mods, but you don't want to be defenseless against a shooty oriented band
5) if you do well, by the end of a campaign, you probably have gold sitting around, that's when you hand out swords, armor, and more expensive kit all around.

If, for example, you lose your captain in the first game, he loses all his equipment too, so you're out 135 gc, which is about 20% of your starting income.

Mordheim is a great game, and can be played in all kinds of styles. I'd love to play a more RPG ish game where I can outfit my captain and have a handful of troops to go exploring, but if I ever ran into that 14 strong skaven band with slings all around...shudder....

No matter what, have fun!