Being physically strong will do nothing for you if you have many enemies picking on you. Just like wolves bringing down a moose, they'll team up to take you down.
There was a newspaper article about some mother whose son was getting bullied, so she enrolled him in karate or something. Apparently she wanted him to fight back. Only thing is, most bullying is verbal or of a social nature. You can't throw a punch at a rumor. Anyways, the taunting got so bad after that the kid ended up commiting suicide. I can't remember if this was a local event or what, but there you have it.
In my experience, what works for me, is I just try to be very serious, respectful, and carry myself with dignity. If someone tells me something that they did over the weekend, I try to make them feel like that's very important to me. If they crack a joke about me, I smile, but that's all. If someone cracks a joke about someone else, I treat it as a serious statement. Usually jokes wilt before that kind of treatment.
Just a disclaimer, if you do this then teasing does disappear, mostly. But you certainly won't be invited to parties or anything.