Victory at the Vicente Calderon would propel los Blancos six points clear at the top of the table, though second-placed Barcelona could cut that lead in half by defeating Almeria later in the day.
Given Madrid has already booked its place in the Copa del Rey final and is 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 a 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 labeled Madrid the "most feared team in Europe" and says that Ancelotti's men are the obvious favorites going into the derby.
However, the Italian believes that his side will have to be at its very best to defeat a side which has 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 favorites or not... we’re three points clear and so, in a sense, we are favorites 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 defense. We have to play with courage and personality. To win, we need to be better than Atlético in everything."