The Turks are quite unlike most other factions, the first thing you should do with them is pick out a nice section of the map North or West that you'd like to take over, get all your starting units gathered up. The towns and castles you start with are a nightmare, mountains are in the way, you have FoW causing a problem, almost no income, and that's the good news.
The bad news is that if you make the HORRIBLE mistake of staying where you are, you're going to war with Byzantine and Egypt very soon, and worse still all of the catholic world will start marching through your land and inevitably go to war with you on some crusade or attack of convenience during a crusade. Not bad enough? The Mongols will eventually pour into your land and sandwich you between constant crusaders, angry catholics, hostile egyptians (unless you wipe them out, then all the crusaders come for your cities) and more.
Needless to say you need to pack up and relocate your empire, and this is one of the great things about the Turks, You choose where you want to land and carve out an empire. There are three obvious directions, through the ever more powerful Byzantine (they'll carve you up for good, and Hungry will be north if you do... Hungry doesn't like you.) or you can get on a boat and go west to a variety of exotic locals, though I highly advise against taking an Island until your capital is relocated. The third and maybe best option is to go north.
Option 1: Military Campaign to the West
If you're bold enough, or foolish enough, to try to martial a military force and cleave a path through the Byzantine, you should also end up at odds with Venice and Hungry before you're ready. Venice is naturally neutral toward you so you can get on their good side, they're less reliable than Poland but at least they can protect you from Hungry if they attack. The problem is if you're taking this path you're going to want provinces that Venice has, and they're not likely to sell them short of say, oh, a few hundred thousand gold! This means you'll eventually be going to war with them, and if you strike first it will hurt your global reputation. Still in the end you get some clearly defined borders to the north, and you can sell Hungry's provinces to Poland or the Papal States (a good way to position yourself to suck up to the Papacy).
Option 2: Naval Conquest
If you have your eyes set on any of a number of locals reachable by sea, you may want to build a dock and ship at your capital and head out. You can choose to land wherever you want, if you're going to make your empire on Italy by crushing Sicily you start with ample forces and get a position next to the pope so that you can influence the Papacy.
If you plan on taking Iribia it's good to choose a good capital city like Toledo, pushing out the Moors, and crushing the Spanish and Portuguese shouldn't prove too difficult. You should consider reconciling with the Moors though, their lands to the south are inconvenient to govern and have little real value but you get a good trade income from them and they should be peaceful allies unlikely to wage war once pushed out of Iribia. If your form an alliance with them they're somewhat reliable, though slightly prone to try and take back their old capital if access to Iribia isn't blocked (just build a fort and put some units in it). Other than that they add clout when dealing with the french, since the french are less likely to attack you if you have an ally.
Lastly a bold move would be to sail all the way up to Caen just south of London, making it your new capital then crushing England and Scotland. You can carve a good notch out of the french from there, but the HRE and Denmark naturally hate you for some reason. On the bright side Milan should prove reliable if you give them a gift of a hundred gold or so every five turns. This is good because Milan builds up a fast army, and they're normally hostile to other catholic factions.
Option 3: Northern Expansion
The objective of this path is to take over all the provinces Russia seeks to take, and destroy Russia in the process. Russia and Poland don't get along, so you can use this to your advantage if you have trouble with the Russians (weak as they are to start).
You can easily start by taking Tbilisi and making it your new capital. It's just north of Yerevan and acts as a gateway into the great north. You can easily block all access to the north with forts preventing your nosey southern neighbors from poking around where they're unwanted. Just push your way north and west until you have a line of provinces bordering Poland. Poland is a very reliable ally if you cozy up to them, and giving them your junky old provinces will throw them into war with Byzantine, endearing you to them in the process. This kills two birds with one stone and lets Poland act as a meat shield on both entrances to your empire and keeps Byzantine out of your hair, you could even sign a peace treaty and trade rights once they're in conflict with Poland, but Poland will consider this dubious (and thus it effects your reputation with them, and your world reputation). If Poland grabs Kiev, Vilnius, or Riga buy it from them, don't take it, you have junky start settlements to trade so you can get a discount and you don't want to cross Poland trust me, they're the only reliable eastern ally you have.
By the end of the third option you have three major port cities that provide easy access to your faction's main target goal, Constantinople, but why not have some fun first? You can sail out from Riga and invade the English and the Scotts, or you can crush Denmark, or go capture all the Islands, invade Iribia, and do all that other stuff you were going to do anyway. Go nuts.
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