Hi Li ly,
You can export out the execution and its test steps from the search test executions navigator. What you will do is go ahead and navigate to the search test executions navigator. Once in here you can perform a ZQL search to pull up all the executions (and their test steps) that you want to export. Once you do this, select them all and click "Export" in the top right. Now you can chose what format you want to export too.
Below are some links to some documentation that shows you how to use the Search Test Executions navigator and a ZQL reference page:
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