Are you supposed to fight a bully?

That might work if you were bigger and/or stronger than the bully. However bullies usually avoid such kids and select ones that are smaller and weaker.

Fighting only worked one time after my grandfather taught me a "sucker punch" and I caught the bully completely by surprise. He got a bloody nose! The bullies after that took advantage of their bigger size and never let me get close enough to land any kind of punch ever again.