Here is a bulkier set I just thought of to take advantage of Lunala's signature ability. This one is a doozy.
Lunala @ Leftovers
Ability: Shadow Shield (basically Multiscale)
Nature: Bold (-Attack, +Defense)
EVs: 4 Def / 252 Sp Att / 252 Speed
- Moongeist Beam There is literally no reason to not use this move on Lunala. Next.
- Psyshock This is mainly against Blissey, as well as the unpredictability factor.
- Cosmic Power While Moonblast seems attractive, this set requires more bulk for its maximum troll factor. I'll explain in a moment.
- Roost It's one thing that this restores health, but if you manage to bring your health back up to 100%, Shadow Shield will be in effect yet again, making you take even less damage on the next hit.
So the set basically dictates you to bring out Lunala, out-speed some things with that max speed EV investment, set up Cosmic Power, get hit probably, Roost, rinse and repeat. If the opportunity arises, hit some enemies with those sweet STABs in Moongeist Beam or Psyshock.
Now this set has a couple of issues that need to be addressed. For one, if you receive Stealth Rock damage before setting up Cosmic Power, then Shadow Shield will not protect you from the first hit which will likely be Ghost or Dark Type, given that they cause 4x damage. This is even a bigger problem if the opponent out-speeds you.
Secondly, any and all status will cause problems.
But then again, all sets have their flaws.