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Убедитесь, что история сделок загружена в терминале перед запуском скрипта.
In MT5, it would seem to be redundant.

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TradeReportExporter:
The TradeReportExporter script is designed to export the history of trades (trades) into a convenient CSV file. It automatically collects data on all trades for the last year for the instrument it is installed on. The file includes such data as date and time, transaction type (buy/sell), price, volume, commission and profit/loss. The result is saved in a file that can be opened in Excel or any other spreadsheet editor.
Author: Anatoliy Migachyov