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Ok, so this is my first proper army list I'm coming up with. I've gone for units I like, rather than ones which I think will necessarily be good, but I also don't want to get stomped so any advice would be welcome.
I would like to have Harlequins somewhere in my list, but they don't necessarily have to be the focus if that would completely hamstring me.
Also, another note before I start - I really want to avoid Guardians if possible, cos I just find them straight up boring.

HQ

Autarch (Fusion Gun, Power weapon) = 90

Elites

Harlequin Troupe:
5 with kiss
2 with kiss and fusion pistol
troupe master (kiss)
death jester
shadowseer = 288

Troops

Dire Avengers: x5 = 60

Dire Avengers: x5 = 60


Total = 498

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500 points is a strange animal. Sometime the harliquins will serve, sometimes they won't. I know and respect your choice to play with the models you like best, I assume you like harliquins, not sure about the rest. Here are my suggestions.

1) Take a farseer with fortune instead of the autarch. You don't need the bonus to reserve and fortune will let your harliquins live longer. Runes of warding would be a nice addition here. (-5 points)

2) Take two units of jetbikes instead of dire avengers. The avengers will be on foot and easily picked off, making it nearly impossible to score objectives. The jetbikes on the other hand start in reserve and turboboost around getting a 3+ invunlerable save until needed to claim objectives at the end of the day. (+12 points)

3) To pay for this drop the troupmaster (who should have a power weapon anyways). This also frees up enough points that you can give everyone (except death jester) kisses. The death jester is a cool model so I am assuming you want to play with him. If not I'd drop him to give the farseer runes of warding.


HQ
Farseer (fortune)- 85

Elites

Harlequin Troupe:
6 with kiss
2 with kiss and fusion pistol
death jester
shadowseer with kiss= 276

Troops

3 Jetbikes 66
3 jetbikes 66


Total = 493

Thanks, that's exactly the sort of advice I needed.

Stienrp covered most of it.

I would add a singing spear to the farseer, for some more ranged anti armor.

The DJ is alright, but your clowns will usually want to be running, not shooting.

For the price of the two fusion pistols, you could put shuriken cannons on two of the jetbikes. If the clowns need to take out armor, they can rend up to AV12 rear armor. Your farseer is also S9 against any tank, giving you a chance against AV14.

Harlequins should almost always be running. Even before an assault, you don't want to shoot the unit and have your opponent remove the models in front to keep you out of range, allowing him to shoot you back next turn. The only time you would be shooting is at point blank, which likely means your harlequins have already come under fire. Adding melta pistols will tempt you into shooting, instead of focusing on assault where harlequins need to be.

Jetbike cannons are ranged, and can be moved around to get rear armor on a tank if need be. It is risky using your precious few troops to fight and lose that 3+ cover and risk getting shot at, but it is a better option.

Harlies are tough to use at 500, but it can be done. But I just want to say that I'd you DO want to build your list around them, especially as the point level goes up, running them up the board does not play to their strengths. Assuming you have a shadow seer, you are paying a lot of points for a largely unshootable unit at range. The way to use that to your advantage is to use the Harlies as a trap - hang back, pop transports with the jester, and make the enemy come to you so you can choose where to charge him and hit him on your terms.

If you are using that tactic, usually you are using rangers/pathfinders as troops (a 2 or even 3+ cover save protects them from shooting, especially with farseer rerolls) , a farseer to help support both assaults and defense, and eventually some wraithlords in cover for anti-tank (t8 and cover again makes them Immune from most ranged fire). With nothing to shoot, the enemy comes to you, and you hit them with Harlies and doom. It's not easy, but it's fun and it works.

Look up fritz 40k, he has YouTube videos and a tactica that can help if that route appeals.

Note the if you put an IC in the Harlequin squad you're slowing them down a lot. As a group they don't benefit from their flip belts anymore, and the IC loses his move through cover when joined.