Stenson's six-shot victory at last week's DP World Tour Championship made him the first man to land the Race To Dubai and U.S. FedExCup double in the same year.
The 37-year-old, who was ranked outside the world's top 100 just 12 months back, came agonisingly close to major breakthrough when he finished second at the British Open and third at the PGA Championship.
"I would go there (to the majors) with more confidence after being able to achieve the things I have achieved this season," Stenson said in a conference call with reporters on Wednesday.
"I am also very excited because I felt at the Open Championship and the US PGA I probably didn't play the best out of all these weeks. And I still came that close.
"If things would have fallen my way I would have potentially won both those majors this summer."
Stenson has struggled with a wrist-joint injury on his right hand and has constantly been on pain-killers but still managed to scorch the course in Dubai.
The injury forced him to pull out of this week's South African Open but the Swede will tee off at the Thailand Golf Championship from Dec. 12-15.
"A major championship would obviously the one thing missing on my resume. It's one of the tougher things to achieve, that's why they call it a major," he said.
"I would love to be the first male golfer from Sweden to win a major championship. That would be great. But if one of my colleagues from Sweden do it, that would be great too.
"Whether I am first or second is of less relevance as long as I can win one."
Swede Annika Sorenstam, considered by many as the greatest female golfer of all time, is a 10-time major winner.
BACK FROM SLUMP
Stenson's career has never been smooth but the Swede managed two comebacks from serious slump in form.
After winning his first European Tour title in 2001, form suddenly deserted him and he struggled for much of that year and the next. He faced a similar situation in 2011 when he missed cuts after cuts.
"To come back to where my game is now is taking a lot of hard work, patience and dedication. The comeback journey didn't start this summer but it started probably a year and half ago," he said.
"I might have four-five good years ahead of me and that's 15-20 times you can potentially win a major championship. It's not like I will have a million chances.
"I know there's a lot of room for improvement still, a lot of areas where I can become much, much better."
Most top players are reducing tournament commitments to continue playing both Tours in America and Europe and focus better on winning majors.
Asked if it was becoming impossible to continue being a dual Tour player, Stenson said, "It would be pretty stupid to say yes, having won both. But it makes the achievement even greater for me.
"It's definitely not impossible given that we have the big seven or eight tournaments that counts on both tours but it can be quite a tricky travelling schedule.
"But as long as you are top 50 it works out pretty well. You can't do too many trips back and forth between Europe and Asian and the U.S. as all the travelling takes the extra energy out of you with jetlag, the long-haul flights and everything."
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