Your immediate neighbor is Armenia and Scythia - they make good allies, and can be generally trusted.

Armenia is the only country which can strike fast into your territory, but since they are weak in both military power and in territory, it is pretty easy to fend them off. The Scythians are pretty much stagnant in whatever they do and hardly pose any threat in whatever case.

Thus, your immediate attention falls upon the Selucids and Egyptians. How quick you can advance into the rich provinces of Asia and Egypt usually determines the game. In any case, a very important strategical area is Dumatha in Arabia. While it is economically unimportant, it provides a staging point into advancing west towards Egypt, and is also a key location in advancing deep into Selucid territories without being harassed. It is under Rebell control, and can be quickly conquered in the early stages of the game.

In any case the long distances between cities works both ways. If you can construct a chain network of watchtowers along the long roads between the cities you can detect enemy advance at least 3~4 turns before they begin to propose a serious threat. Multiple small, mobile armies of fast moving cavalry stationed in forts between the long roads can quickly rally at a middle point and immediately form a large defense force. Thus, the distance works against the enemy as much as it works against you. (This is why Dumatha is so important. All Egyptians incursions can be detected at Dumatha)

Your primary targets are the rich cities of Seleucia, Antioch, Jerusalem and Tarsus, expanding West into the jewels of the Orient. The army of horse archers can defeat all enemies, but it is rarely so efficient in siege battles. Thus, your best move is to get the enemy armies to merge into a large force, and then deal with it in one swift blow. Lure them into the vast voidness of the desert, crush them, and then quickly advance and lay siege to a city before they build up a large army again. So the basic military strategy is lure-defend-counterattack.

If you can reach the Aegean seas, then Parthia is on fast track to greatness.