Early war strategy works best.
The key to victory is to plan ahead and know where you'll be one year hence and build your needs accordingly. With the early war strategy, I took France, Britain, Russia, and USA by Sept 1942 with no more than 180 infantry and 27 armor divisions with no air except for naval bombers (which are as good as gold). Research should be concentrated on armor, artillery, oil, and doctrines. Ally with Italy AFTER you crush France (garrison with no more than 16 infantry), Belgium, AND take Gibralter with the 6 mountain divisions that you had the forsight to build. Move your troops to UK with the 12 transports that you had the foresight to build, and take Austria at the same time. Garrison UK with no more than 8 infantry, then move through Yugoslavia and Greece (you should be in the summer 1937 latest). Get military access through Turkey and Iran. Move units through Turkey and take Iraq, then to India through iran. Take New Deli and puppet UK. Move back to Europe and take Czech and Poland. By April 1940, invade Russia with 160 German divisions and with Rumanian and Hungarian armies that you control. Use massive southern thrust, encircle marshes from behind, move north and take leningrad and through to archangel. Back to Moscow, Stalingrad, Baku, and the other Ural city for bitter peace. The best I've done is bitter peace by Dec 1940. Move units back west, and transport army to Panama which you annex with the transports and battle ships and cruisers that you began building in late 1939 early 1940. I usually have 50 or transports and 27 to 36 battle ships/cruisers although it really depends when you start to build. Move units to Mexico which has already given you military access. Set up a convoy from panama to the southern most mexican state which puts the supply line on the west side of central america and out of the main sea lanes. You've had the foresight to create 6 naval bombers that you have not yet deployed but are in the reserve pool. With Panama annexed, you deploy them strait to panama and set up a naval trap; you will crush the US navy here as it goes through west to east and back. You will station your cruisers here to prey on enemy convoys. Move through the US as fast as you can, encircle and destroy. with any luck, they have been at war with you for some time and are spread throughout the world. Skip denmark and netherlands, norway, and the rest. You can make it work; I've done this several times and it works. Remember, use research to increase organization for army and naval units and for artillery and engineers. By russia, my infantry is 95 org, armour 101 or 112 org and I always have PZ IV's by that time. Skip air research except for early naval bombers. Good luck.