It really depends on how you want to play.
From a gameplay point of view your best strategy would be to eradicate Epeiros and Makedonia and conquer a bunch of thraikian provinces.
Thus 1)you will have eliminated your two closest enemies
2)you will have a secure empire (only threatened from the north or from whoever controls Bithynia, seeing that naval invasions even with bi.exe or Alex.exe are unlikely to be a problem)
3)you will get filthy rich with all that sea trade and the mines in Makedonia, Illyria hellenike and the thraikian provinces.
From there you can pretty much do whatever you like. Just do not attack the Romani until you get the March of Time reform, or you'll never be able to train your own factional Phalangitai.
Nevertheless, since I like to role-play, I am not so aggressive because the game becomes too easy too fast and because it would be totally ahistorical for the Koinon Hellenon to become a Balkan Empire in a few years. In my last KH game, I halted my expansion after I had taken Demetrias (and transformed them into a client kingdom - it just didn't feel right to incorporate them right away into the Alliance as equal members, cause they were closer to the Makedonian political system rather than the city-state system of the southerners). The reason I didn't expand north was that I wanted to face those Argyraspides and Hetairoi in battle, rather than Akontistai and Phalangitai Deuteroi, also it would feel awkward for an alliance of the greek cities to occupy Makedonia (such a kingdom could not be occupied with sheer force forever, the Diadochoi might unite against the occupation of the "Motherland" and the political institutions of the two sides were too different for a unification process to take place) and finally because the KH was essentially a defensive alliance: if the aggressor was nullified, the alliance would break apart, although you could role-play that too. I therefore used forced diplomacy to simulate a peace with the Antigonids and I orchestrated a war between Epeiros and Makedonia with me keeping balance between them with occasional interventions. In the meanwhile I built up my economy and my infrastructure.
Form there, I expanded slowly with naval invasions mainly in the greek colonies around the Mediterranean, justifying my expeditions as a way to protect my trade routes (thus I took Byzantion and the Krimaian cities to ensure the grain provisions of my mainland) or as a mission to liberate my enslaved greek brothers (eastern Sicily and Magna Graecia). Note that the offshore cities did not have full voting rights in the ruling council of the Alliance, they paid more taxes, but they were not required to sent soldiers abroad to protect the interests of KH unless they themselves were threatened. Moreover no barbarian nations were allowed in the Alliance, unless as client kingdoms (the Greeks had quite a few problems with incorporating foreign elements). In the end I simulated a conquest of Mikra Asia, where aside form the greek colonies on the shores the rest of the lands (inhabited by non-Greeks) were administered in the manner of roman provinces by governors appointed by the Council. Oh, and I also reformed my army turning them into a professional heavy infantry force and allowing greater use of mercenaries and I introduced a copy of the Roman Auxilia (aka the "Epikouroi") drafted from non Greeks leaving within the KH provinces and serving as light infantry.
Well, sorry if I wrote too much and if most of that isn't really anything original, I just wanted to show that it is way funnier to roleplay than to play as efficiently as possible. I would talk more about my early and later army composition, but others have made some very good points. Just a minor advice: what Burebista said about the Thraikian Peltastai is true. Those guys are lethal.
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