Hi pirke,
I also had a trouble with this level but now i do medal arming through it. Let me try to help you to my best.
Turn 1:
->There are 3 ships on other side of denmark(north sea) .Use them to bomb the costal fort three of them must be able to destroy it on turn 1.
->There are three ships to the left of Nelson use them to attack the privateer on russian side. Be carefull to be out of range of the costal fort.
->Bring Nelson to south just near the coastal fort of prussia and destroy it.
->Use Elphinstone and Brock to
flank the coastal fortress and use your other ship to destroy it.
->bring the remaining ship towards denmark
->Hit Fischer of denmark using elphinstone.
->No need to capture prussian port as then brock and elphinstone will die on denmark seas.
Next turns are a flow as shown(do it in parallel)
->Your ships on other side of denmark(near north sea) , use remaining ones to hit the small ship on the denmark coast.
->Ships near russia hit one target ship at a time(I mean all three ships hit 1, this way they make more damage).
->use brock and elphinstone to kill costal forts and denmark navy generals.
->bring nelson as quickly as possible as otherwise the light artillery will keep hittin othe ships hard.
->Once both the generals are destroyed and costal fortresses are taken out bring your remaining ship to kill then privateer (small ship)
near the northern part.Here note that to hit from distance because if not then three ships to the north will attack you.
->Kill all ships near russia and bring bvack nelson near russia if necessary.
->Also note that if nelson's Health goes low level him up(by taping on him and using arrow hitting target symbol).
I used this strategy and win usually on round 8-9.You may be able to get five stars.Hope it helps.
Also this method is open to criticism.