I think your playing style might be the cause of your problems with Pahlava and Saka. On the plains you are at a disadvantage, but in city combat the advantages are yours. Defending Baktra with a stone wall, some archers and slingers is a good idea. Slingers especially since their attacks are armor-piercing.

There is no point in taking Marakanda and Antiocheia-Escate. Not only do they earn you little money, it will also mean a very vulnerable border against Pahlava and / or the Saka. War with either faction ensures those provinces become money drains. Better to avoid them until you have built up your economy.
Since Baktria is a huge province, it does not hurt to put in a few watch towers. That way you can see approaching armies well in advance, and organize your defences if necessary. Let the AS try to defend those two provinces. It buys you some time, and often the Saka don't break through immediately (my experience on VH/M).

You can either buy peace with the AS and slowly expand eastwards, or expand through AS lands, but ensure that Pahlava always shares a border with them as well. If they don't, you will be considered a viable target. Build mines in Kophen as soon as you can, since they bring in 1800 Mnai / turn (Level 1). Add in some mining bonuses and a level 2 upgrade, and you can literally support a good army on the basis of that town alone. Such an army would be strong enough to take the Indian settlements, and if you are good at the sieges of the cities you might even conquer all three with that army.

Try to avoid long borders with the Saka and Pahlava in particular. You cannot really outmatch them until you have got your economy running, and your MICs upgraded to at least level 3.