Sounds like you might be saving the simulation setup, not the gearing strategy itself.
When you click Create a Strategy on the optimizer page, it takes you over to the simulator page, and pre-loads some things for you.
Then, you need to press the green Simulate! button to actually create the gearing strategy. This requires the simulator client to run on your machine, and can take anywhere from 15 minutes to a couple hours, depending on your computer.
When that completes, you will see a big Save and Use button on the simulation result page. Press that and save, then you can use it to rank gear.