Here was my moves in the beginning of my Pahlavi campaign...
First, enqueue buildings in Nisa (palace, roads, port and walls, I forgot the walls and the city was later captured by the seleucids).
Send your diplomat to seek peace with your ennemies. Sakae, Sauromatae and Bactrians left me alone for a long time then...
Gather all your troops except governors and head to Gava Maszakata. The losses in Gava Maszakata will be high, so: less upkeep.
Rally your spies around Antiochia Margiane, make it rebel and take it. If you can, do the same in Asaak. Once done, your troops will be highly depleted, your upkeep low, and your income may be positive.

Then you *just* have to balance you expense between city building and the troops necessary for a fierce defensive war against the Arche. Those five provinces should be able to field a quite-full stack of basic HA and cheap footmen. Take Hekatompylos and you should be able to field a second stack of low-level troops you'll use when war broke out with Baktria - no mercy, don't stop until you seized their three starting provinces at least, and well, raze them and throw them in the paper-basket of History.

About infantery: the best I've found are mercenary medium phallanx, but their upkeep is almost the same as your own noble horse-archers. I don't know Hircanian hillmen's worth, maybe I should test them.
Most of time you'll have to rely on Nizag Gund and Pantodapoi Phalangitai. They can hold a line for a while supposing your cavalry is close to charge the foe as soon as possible. And they'll die in rows whatever you do...

Pahlava is my best EB campaign until now.