There is no setting that controls this particular behaviour, no; or at least none that I'm, aware of or is documented in the default settings.
When you say "close the window at the end of the day", are you referring to closing the window (but leaving Sublime running) and then creating a new window the next day, or actually fully quitting Sublime?
In the first case, without using a project to have a workspace persisted for the window, I don't think there's any way to retain the history since the new behaviour explicitly starts new windows without a find history present.
In the second case, turning the
hot_exit setting on will cause Sublime to persist the state of everything (including all windows and their history) automatically when you Quit Sublime and then recreate them (history and all) the next time you start up.
If you happen to be using MacOS, then things get "weird" due to how applications are supposed to behave on MacOS.
Here closing the last window doesn't quit Sublime, it just leaves it running with no windows present. If you try to launch Sublime while it's already running, or even just click on the dock icon while it's presenting no windows, it will create a new empty window by default.
This can give you the illusion that you're quitting Sublime by closing the window and then starting it again when in reality it's been running the whole time. You can verify this by turning on the option that makes the dock show an indicator on apps that are actually running, for example.
Another potential issue in this case is closing all of the windows and then quitting Sublime. When you do that, the state that you're persisting with
hot_exit is a state with no windows present, so there's nothing but a new empty window to be created at the next launch.
Either way the solution to that problem is to ensure that
hot_exit is turned on and then get in the habit of quitting Sublime entirely instead of closing the window when you're done with it.