The Gunners have been in superb form since the turn of the year, winning 17 from 21 matches with a quarter-final Champions League exit to Monaco the only real disappointing result.
Wenger's squad could yet end up second in the Barclays Premier League and secure a successful defence of the FA Cup with victory over Aston Villa at Wembley on May 30.
It will be, though, how well Arsenal are able to kick off the new campaign in August which Wenger feels is to decide the direction of the team, having paid a heavy price for such a slow start in the title race this time around.
"That is our challenge, to finish well and take that strength into the next season," said Wenger, whose side are not in action until Monday night at Hull.
"The start of the season is linked with belief as well
We can just strengthen the belief by finishing well."
Wenger believes Arsenal are in a better shape now than 12 months ago, but that much hard work still lies ahead.
"I feel that we have made progress, so I look at it in a positive way because what you want from a team is to show during the season that you can grow together and become better," he said.
"We faced a big challenge because Chelsea didn't drop their level in the title race, and they were more consistent from the start until the end, and that's why we didn't catch them up.
"Overall, though, we feel we have made progress."
England forward Theo Walcott believes Arsenal could mount a sustained title challenge in 2015/2016 provided they can keep a clean bill of health.
Wenger said: "We had big injuries at the start of the season, after the World Cup, and that we only got our squad together more recently.
"Even then we still lost players like Jack Wilshere in November, and then again afterwards
We were not all together.
"So it took us some time to find a good balance in the team and we dropped some points because of that, missing players was certainly detrimental to our results."
Source : PA