The Italian insists that los Blancos will continue to take things one game at a time, while arguing that victory at the Vicente Calderon will not end their rivals' title hopes
Victory at the Vicente Calderon would propel los Blancos six points clear at the top of the table, though second-placed Barcelona could halve that lead by defeating Almeria later in the day.
Given Madrid have already booked their place in the Copa del Rey final and are virtually through to the last eight of the Champions League on the back of a 6-1 win at Schalke in midweek, some fans are already dreaming about an historic treble.
However, Ancelotti does not want to look beyond Sunday's derby, telling reporters on the eve of the game: "We’re not thinking about a treble. We have a lot of games left to play and it’s difficult to win every match.
"We have to be focused and take each game as it comes. It’s good to think about winning, but one game at a time."
Ancelotti also dismissed the notion that a win would end third-placed Atletico's title hopes.
“The season is very long," he pointed out. "This is a very important game – it’s a chance for us to pull six points clear of Atletico but, at the moment, nothing is decisive."
Atletico boss Diego Simeone has labelled Madrid the "most feared team in Europe" and says that Ancelotti's men are the obvious favourites going into the derby.
However, the Italian believes that his side will have to be at their very best to defeat a side who have yet to lose at home in La Liga this season.
“It’s normal to feel pressure ahead of a game like this – a match between two sides who are both battling to win the league; two great sides," he enthused.
"It’s about how you handle that pressure. To say that we are the favourites or not... we’re three points clear and so, in a sense, we are favourites but Atletico have an advantage because they’re playing at the Calderon. We all know how their fans get behind them at home.
“We must play to our best level in attack and defence. We have to play with courage and personality. To win, we need to be better than Atlético in everything."