For pure steppe conquest I'd actually prefer the Saka because you get a clear direction of expansion. I just like the idea of going from the Eastern end of the map towards the West. But, as Swordmaster said, there's great goodies to be had if you go South with the Saka... that's how you'll get your Indo-hellenic stuff. Not to mention you're red, and there's something fitting about that part of the map looking red.
On the other hand the Sauromatae have dragon banners... There's something epic about them to be sure.

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