HA were always a pain for anyone facing them. As Baktria, I would probably try some Archer Spearmen and Eastern Slingers... Use them, and be ready to lose several men. That's the spirit of facing HA's: never give up.

I think the best way to counter HA's is testudo. Either put two Cohortes Reformatae together, each of them covering the backs of the others so that little rear vulnerability in the Testudo doesn't get exploited. This will force the Saka Nobles to charge at your formation, when your legionaries will win the day with their melee skills and numbers.