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This was a crazy idea that I had in a dream and discussed with a few posters in the other alternate history place a while ago. Let's say that the Xiongnu are a little more luckier and manage to take control of China either during the disintegration of the Qin Empire to the Eighteen Kingdoms or refuse to negotiate a peace settlement with Emperor Gaozu and push forward to seize China from the Han dynasty. As with most nomadic conquerors of China, the Xiongnu Khans assimilate and go native, adopting Chinese culture and language while retaining some loose ties with their humble nomadic roots. In the time that they lord over China, the Xiongnu Empire expands to lands never before penetrated by the Chinese, subjugating the Hellenistic kingdom of Bactria, in an combined push with the Parthians. (China and Parthia were allies IOTL, I don't see why it would be any different)

All empires rise to prominence, stagnate, decline and then fall to obscurity. The Xiongnu are no exception, and they are unseated from power. It doesn't matter how, whether they're unseated by a native Chinese dynast or another group of steppe nomads. The Xiongnu Khan pulls a Yelu Dashi (founder of the Kara Khitan Khanate) and evades capture by the new dynasty, fleeing with thousands of loyalist troops and followers. Using what remaining money and diplomatic goodwill with the Parthians, their forces are bolstered and they make a new homeland in the Fergana Valley, seizing control of the land from the Scythians and Yuezhi tribes. Alexandria Eschate, a cultural hub and smack dab on the Silk Road, is selected as the capital of the new Xiongnu kingdom.

The Xiongnu kingdom in Fergana is made up of a diverse collection of peoples, including native Iranians, urbanized descendants of the Greco-Macedonian colonists planted by Alexander the Great, steppe nomads, as well as Chinese and Sinicized nomads. Having assimilated to Chinese culture and language, the exiled Xiongnu rulers of Fergana continue to use imperial traditions and Confucian administration carried over from China. However, the Xiongnu begin adopting Greek administrative titles like strategos or basileus, using Greek in addition to Chinese on their coins and worshipping Hellenistic (and Iranian) deities like Helios and Ahuramazda along their traditional worship. Veneration of the Buddha is also earning an increasingly larger following as well due to missionary activity from India.

By the first century AD, the Kingdom of Dayuan is acknowledged the westernmost outpost of Chinese culture as well as the easternmost outpost of Hellenistic culture by foreign travelers but it's more than that: the two cultures have fused together to become something neither Greek or Chinese. Time, distance and separation from China and Greece (subjugated by Rome), has made the culture of Dayuan evolve into something distinct. The Kings of Dayuan have combined different systems of tradition and transformed into an organized religion. The following titles are just a collection of what the Magi used to refer to the King of Dayuan:

Son of Heaven
King of Kings
Scion of Yàshù Mǎzìdá
Protector of the Dharma
Strategos

Missionary expeditions are sent out beyond Dayuan on regular intervals, reaching audiences as far as Alexandria, Antioch and Rome. There's not much success in obtaining converts; the emphasis on Dayuan as the center of all civilizations in the world and the King of Dayuan as the world's only legitimate ruler, with everyone else as tributaries or barbarian savages. It understandably repels most people except for a very few. Chinese had left on its mark on the Greek-divergent Dayuan language, itself written in a modified Chinese script, to say nothing of the thousands of loan words peppered in. While most people in the kingdom continue to speak their native languages, Dayuan Greek is the language of the royal court and magi.

How about this for a crazy idea?
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