This abomination is an attempt to make a true Knightmare deck; and when I say "true" I mean you have to use every card in the archetype and every support card created with them in mind. I'm gonna be honest, this deck can do some disgusting things as should be expected of banned cards, but it is not competitive in the slightest. There is no room for hand-traps or meta counter utility, we're pretty much stuck with the World Legacy support which are brick more times than not.
I would like to give a tutorial of the combos, but there are so many different ways to play each hand that its kind of impossible to simplify it. I feel that this deck is incomplete and deserves a 60 card variant that can better abuse some of the more niche strategies that can't fit in this 40 card build, but for now here is a
Strategy:
Go first, this deck cannot go second unless your opponent does nothing. The basic idea is to to use your normal summon starters like, Venus, Girsu, Iblee to set up a basic board and use Knightmare Goblin to use a second normal summon and increase your board further. This deck has a few extenders like the World Chalice, Mekk-Knight, Parallel Exceed, Pot of Avarice, used to help link climb. And a lot of in theme World Legacy support cards to act as interruptions.
Your end board will vary greatly and depends on the hand your have drawn. Sometimes you will end on a Knightmare wall immune to targeting, battle, destruction in hopes of unicorn to draw you 4-5 cards your next turn; sometimes you will end on a basic Orcust loop with two negates and an I:P Masquerena; sometimes you'll end with an Avramax with an Iblee on your opponent. There are many more boards, that I will record later.
Test Hands:
https://youtu.be/2CFHTKr5cuw
Side Deck
Because I could not fit in every card smoothly, I left them in the side deck as an optional strategy change. Monstrosity "archetype" is designed to summon World Gears Theurlogical Demiurgy which is a go second board nuke. Avida Rebuilder of Worlds can also be used to reset your extra deck. A few other World Legacy cards that could use Girsu Krawler combo, or Topological Bomber Dragon board nuke.
I feel bad that I can't give a more in depth analysis, you really just have to experiment with it to figure it out.