It is famously more than eight years since the Gunners won a trophy, but they have made a great start to the season and spent the international break on top of the table.
On Saturday they meet Norwich, and Wenger gave a very positive message to supporters at the club's AGM on Thursday.
The Frenchman said: ''We are top of the table, we are in a very strong position, but if you look at the schedule then by the end of November you will have a much clearer situation of where the strengths of everybody lies in this Premier League.
''When we get all of our players back (from injury), then at the moment I am confident we have a very big part to play in this league.
''I am confident at the end of May, we will all be happy.''
Arsenal are level on points with Liverpool, who travel to Newcastle in the early game.