I've always hated fighting them with a phalanx heavy army. Especially early game for the Seleucids. I find that you can't effectively win a battle against a horse archer army unless you outnumber them significantly with Archers. 6 or 7 units of Thanvare Payadag (persian Archers) along with a line of Pantodapoi Phalagitai and one or two units of light or Medium cavalry work well against any horse archer army. Disable fire at will and concentrate all your units fire on one unit of theirs. Two or three volleys and they are reduced to nothing, repeat for every unit that comes in range. I find that the Thanvare have a better range than the Horse Archers so you can destroy them with minimal losses. Creep your phalanx forward and keep pushing them to the edge of the battlefield. Then once they are effectively reduced to nothing send in the Cavalry to finish them off.