Hi, thanks everybody for the replies. So, yesterday I've tried setting hard defending and blue arrows to all my defenders and midfielders (own half pressure is the option which I am always using).

Unfortunately I didn't note the exact values of my players' stamina before match and after, but visually they got really axhausted after that. So, I suppose the only way to save some stamina - is increasing physical state of the players (I usually don't pay attention on this section, since I am skilling defence/attack skills depending on player's position, which seems to be more reasonable to learn).
So, it's up to manager to choose - whether he wants his team to be more persistent or more skilled. Third variant is balancing between all the skills.
As for me, I choose second variant, and I see some results already.