There is no golden mean here since it is a trade-off among three factors: how fast CE returns results, how many round-trips are made, and the memory consumption both on the client and the server. As you probably understand, these depend heavily on your operating environment.
You can consider default configuration parameters that affect query performance as something reasonable and being a sort of the baseline:
ServerCacheCofiguration.QueryPageMaxSize
: 1000
ServerCacheCofiguration.QueryPageDefaultSize
: 500
ServerCacheCofiguration.NonPagedQueryMaxSize
: 5000
A good approach would be populating your test object store with commensurate number of objects and play with query parameters.