Coronagraph is a powerful instrumentation that can be used to realize direct exoplanet imaging. Because the stars are far brighter than the exoplanets, a very high requirement for extinction is raised to obtain a high contrast imaging. By optimizing the transmittance of the entrance pupil and the Lyot stop in Lyot Coronagraph, a sequential optimization procedure is proposed to obtain even higher contrast imaging. In this manuscript, the usually adopted joint optimization in the existing literatures is divided into two steps, which we call the sequential optimization procedure. First, the entrance pupil is optimized for maximum transmission while the contrast constraint is imposed on the focal plane of the lens behind it. Second, the Lyot stop is optimized for maximum transmission with the contrast constraint imposed on the imaging plane. Compared with the joint optimization procedure, the sequential one can provide additional advantages. In terms of performance, under the same conditions, an IWA(Inner working angle) of 1.53 lambda/D can be obtained while the IWA for joint one is 2.01 lambda/D. Moreover, the sequential optimization is much faster. Referring to practical applications, the optimum transmittance of Lyot stop in sequential case becomes binary and therefore easy to fabricate. However sequential optimization reduces the throughput approximately 36.81%, which is a drawback that should be compensated.