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Expect high losses in your first few runs.
Research Alien Alloys, then Personal Armor. You'll be able to manufacture it then (building each suit takes Alien Alloys - you'll need either to salvage them off alien craft or produce them yourself).
Do not overextend your lines - move your troops in teams, so that they cover each other, never alone.
Reserve time units for at least snap shots (ideally - have part of the team kneeling with TUs reserved for auto or aimed shot and part advancing forward, then switching).
Use heavy weapons - Auto Cannons and Heavy Cannons. AP ammo has a powerful punch, and high explosive ammo can be used to saturate areas where you suspect there are aliens - Sectoids die to it easily.
Focus fire - if you're facing three aliens, one dead alien is better than three scratched but still combat-capable ones.
And also you can take Incendiary rounds for night missions, to use as a light source.
But before you replace rifles for everyone, check soldier stats before battle, so you know which are actually strong enough to carry heavy weapons.
Any soldier can carry the weapon itself, but add some ammo supply and weaker recruits can become easily overburdened.
http://www.ufopaedia.org/index.php/Item_Weight
This only applies to Firing Accuracy, Throwing Accuracy, Reactions and Bravery.
These are trained by performing associated actions.
The other stats: Time Units, Strength, Energy and Health are trained differently, they increase when soldier basically does anything on the battlefield.
It's an old misconception that TU and Strength are trained by running and carrying weight.
It's a very good idea, whenever you can - for crashed UFOs. Unfortunately, terror sites are always at night. You can't have them at the day without exploiting bugs. And you can't choose what time UFOs land.
But, Supply Ships will land always at the same time. If aliens build base on specific hemisphere (I forgot which) that time will be at daylight. You can then leave the base be, and milk the incoming Supply Ships :) The loot by far outweights any penalty for operational alien base.
A few tips:
Build your first base either in north america or europe. When aliens attack your base later in the game, they will spawn in the elevator and the hangers, so I usually build hangers in the north corners in my first base, and sell the hangers in the south corners when they're finished. I also replace and sell the northernmost living quarters, to keep the third row down clear except for the elevator. You'll also want to start your research, build some general stores, a large radar, at least one living quarters, and an alien containment.
Don't build more than one large radar and one small radar per base. You won't get a higher detection chance by doing so. You can improve your detection chances by having an interceptor on patrol, and with later research.
When you see your first few UFOs, you can wait to see if they land, but it's risky. They might fly off, and if they do land, it'll be a more difficult fight. Ufo landings guarantee that the UFO's equipment will be intact, and that none of the aliens will die in the crash. They also, often, land at night.
Turn one on most maps, throw a primed smoke grenade at the base of the ramp and another on the second level, at one of your soldier's feet near the ramp. Explosions, Smoke, and Fire will usually only affect one z-level, which is why you need two smoke grenades. You might need to kill an alien who is close enough to see through the smoke, but don't walk down the ramp on turn one unless you absolutely have to, as any nearby alien will have full time units and will be perfectly happy to use them taking reaction shots at your soldier.
Kneeling makes your soldier slightly harder to hit (better if you've knelt behind some cover), and facing the incoming shot gives him slightly better armor, as well as a stronger chance of seeing where the alien was so you can track the creature down next round. If you have to shoot past your own soldier, kneeling with the foremost soldier will allow the soldier behind him to fire over his head, reducing the chance of friendly fire.
Laser pistols and rifles are better than anything you can buy and are relatively easy to research and manufacture. Certain creatures are easier to drop with heavy plasmas, but if you really wanted, you could beat the game with laser tech. Laser rifles are more accurate and powerful than pistols, but pistols on auto can fire up to twelve times per round per soldier.
Autofire is almost always more effective at killing an alien than aimed fire, unless you're trying not to blow equipment inside a UFO, or trying to avoid friendly fire.
Never fire at an alien with a soldier who is close enough to see that alien, if you can help it. Always fire from someone much further away, to minimize reaction shots.
Med kits save lives. I tend to lose several soldiers to fatal wound 'bleeding' between the start of a game and researching/manufacturing them.
Motion Sensors can be useful and don't weigh much, but mostly they sell well. Not as well as the laser cannon, of course.
When you're first starting, load up on autocannons with HE rounds for outside and AP rounds for inside. For night missions, give one of your guys incendiary rounds and everyone a flare.
Night missions cut your soldier's vision range (barring light sources), but do not cut the alien's vision range.
Unless it's a terror or base assault mission, bring a guy with a rocket launcher and four large rockets. They're great at destroying cover, area damage, etc. If you think there is at least one alien hiding in a barn, it's usually safer to blow a hole in the wall than it is to move your soldiers in. Grenades are less effective than rockets without tech, but still good to have. It's possible to prime and throw a grenade at another soldier's feet, and have that soldier pick it up and throw it. Laser rifles can often punch through a barn's wall as well, one tile at a time. Explosions only affect one z level, so if you blow out the second story of a barn, there may still be aliens on the ground floor.
You'll want to give the rocket launcher to someone with high accuracy and strength, but low reaction. You do not want him taking a snap shot at an alien and blowing up half your squad. Give him a pistol on his belt, or carry a spare laser rifle on one of your other soldiers, for when you move your guys inside the UFO.
I've never primed a grenade for longer than zero (end of your turn), or one (end of the alien's turn). A great time to use grenades is if there is a sectiod hiding in a wheat field. Walking up, your scouts won't see the shorter alien until they are very close, and he'll take all the reaction shots he can while they run up to him. A grenade explosion will destroy another grenade, so spread them out or throw them on consecutive turns.
You'll usually want to sweep and clear the grounds first, than move your squad into the UFO. Sometimes it's helpful to do both at the same time with the smaller UFOs, but not usually.
There's a high chance that whoever goes through the UFO door first is going to die. Send someone you don't care about.
Navigation panels are worth 80k and power sources are worth 250k. Try not to blow them up with your soldiers if you can. Weapons on the ground (usually under a corpse) may be destroyed if one or two explosions go off over them. Try to avoid that, if you can, as well. UFOs come more and more frequently as the game goes on, though, so if you have to blow some loot up, you'll get more eventually.
Don't save more than one of alien weapons, mind probes, nav panels, or power sources when you're first starting. You'll want the cash more, and can either loot more later, or manufacture them when you have lots of money and materials. Keep one of anything you find, though, for research. Clips don't sell well and cost elerium to manufacture, but can give you a small amount of cash if you are desperate. Eventually, you'll want to save up 14 or more heavy plasmas, but this can wait for several months. Don't sell elerium.
Get 50 to 100 scientists, as well as living space and laboratory space for them, as soon as you can afford them. Don't get any more than this.
Tanks are fun, but almost always less useful than 4 rookies.
Training is slow, and incredibly risky. By the time you have tech and gear to get around this, you could beat the game if you wanted. If they get better without dying, that's good, but you shouldn't be trying to train your squad.
You can edit soldier's names. Mark ones with useful stats, such as reaction, firing accuracy, strength, etc. Mark someone as expendible if he's ever mind controlled.
Keeping a high ranking officer alive will keep a team of rookies from panicking as they die off for several turns.
Proximity grenades can be very effective if used well, but if the aliens do not detonate one and you need to move your soldiers up there, you'll need to destroy it if you don't want it killing your man. A regular grenade will do the trick. There are ways around this with later tech.
Building an alien containment and purchasing stun rods can be completed in the first month. You will need a psychic alien and a navigator, for research. Others can give you information or contribute later.
A soldier's reaction score is better at keeping him alive than his hit points, in many cases. An alien won't reaction fire at your soldier if your soldier can see that alien, and a formula that uses your soldier's TU and Reaction score gives a higher result for your soldier than for the alien. Soldiers who've used all their time units will never react, and soldiers who have used most of their tu or have a low reaction score will probably lose their chance to reaction fire until after the alien has moved and fired.
Putting flares and grenades on a soldier's shoulders rather than legs, backpack, or belt, will save him TU when moving them to his hand. This does not help with reloading clips. Having something in his other hand will lower his accuracy with weapons that are not pistols.
Not responding to a terror mission will give you a huge penalty to your score, which determines your funding. If you absolutely cannot beat that terror mission, at least touch down, maybe shoot a few of them, get your soldiers back on your aircraft, and leave. If you have TU and strength you can carry alien corpses and equipment back to the skyranger and keep them despite aborting the mission.
If the aliens are building a base or worse, infiltrating a country, you can delay it by destroying their scouts, but it will happen eventually; you cannot prevent it.
You can find information on more game mechanics and strategy at http://www.ufopaedia.org/index.php/X-COM , which is an old wiki dedicated to all things x-com. It also has information about the sequels, the newer games, some mods, etc.