The optimization process and recommendations:

1. Avoid Subqueries (query line: 5): We advise against using subqueries as they are not optimized well by the optimizer. Therefore, it's recommended to join a newly created temporary table that holds the data, which also includes the relevant search index.
2. Create Optimal Indexes (modified query below): The recommended indexes are an integral part of this optimization effort and should be created before testing the execution duration of the optimized query.
3. Explicitly ORDER BY After GROUP BY (modified query below): By default, the database sorts all 'GROUP BY col1, col2, ...' queries as if you specified 'ORDER BY col1, col2, ...' in the query as well. If a query includes a GROUP BY clause but you want to avoid the overhead of sorting the result, you can suppress sorting by specifying 'ORDER BY NULL'.

Optimal indexes for this query:

ALTER TABLE `accounts` ADD INDEX `accounts_idx_id_user_id_currency` (`id`,`user_id`,`currency`);
ALTER TABLE `dense_balance_transactions` ADD INDEX `dense_transactions_idx_action_created_at` (`action`,`created_at`);

The optimized query:

SELECT
        MAX(user_id) AS user_id,
        SUM(sum_amount_win) AS sum_amount_win 
    FROM
        (SELECT
            a1.user_id,
            CASE 
                WHEN MAX(currency) = 'RUB' THEN SUM(d1.amount_cents) END AS sum_amount_win 
FROM
dense_balance_transactions AS d1 
JOIN
accounts a1 
    ON a1.id = d1.account_id 
JOIN
(
    
VALUES
    (5), (
        22
    ), (
        26
    )
) AS v(user_id) USING (user_id) 
WHERE
d1.created_at BETWEEN '2019-06-01 00:00:00' AND '2019-06-20 23:59:59' 
AND d1.action = 'win' 
GROUP BY
a1.user_id,
a1.currency 
ORDER BY
NULL) AS t 
GROUP BY
user_id 
ORDER BY
NULL