If you don't want to blitz and go deep into debt it is also possible to take Sarmizegethusa and one more town, like Mikra Skythia or Serdika, and then turtle until you can make train 2 chevron komatai form Sarmizegethusa. After that with a decent general you should be able to conquer one free city at a time.

As others have said, allying with the Sauromatae is a must if you don't want to expand to the north. The Sauros are beatable but their cities mostly suck, and are too widespread, while Pella and greater Hellas are rich and tightly packed and easier to defend. But if you like elite foot archers then go after Greater Skythia and train Bosphoran Heavies, and brace yourself for endless war with the Sauros and possible the Saka.