The one way to tell if there's a genuine bug in your copy of the game would be to see if the entry for 'local trade' was also zero.

Right clicking on a province where trading is going on actually brings up a pair of parchments, with the one on the left being the list of all provinces you are exporting to. You will also see imports listed here though this is more often by luck than judgement, when the AI is in charge of ship placement.

Incidentally, even landlocked provinces can have tradeable goods and, with these, the 'local trade' entry is all you'll ever see.

The biggest thing outside of your control is the number of ports which the AI builds for themselves. If you grow your fleet too big, too soon, you will end up paying more in maintainance costs than you generate in revenue. Expand your ships into new sea areas as and when other faction ports make it economic to do so.

The maintainance cost on a ship in the sea zone into which your port faces will be something like 15 per year. Two sea zones distant from home, it's 30 and so on. Foreign-owned ports do not reduce the cost back down. For Denmark, just 4 ships in Black Sea, Skagerrak, North Sea and English channel should see enough ports to soon repay your initial investment. Add another in Norway coast if you've captured Norway as well.

No one else has pointed out that you get no trade income from linking provinces that you own to other provinces that you own. Constantinople does not generate trade by linking to the port in Greece, for instance.

So, the more you conquer the world, the more your income will dwindle to just local-sales only. Each new war you start loses you a large source of revenue. It would therefore seem prudent to 'turtle' for a while, get a few hundred thou in the bank, like nickerson, then blitz the last third of the map against a negative cashflow and hope to finish before you finally go broke.