Carlo Ancelotti's side looked set to reclaim the Liga title but suffered a dramatic 4-3 Clasico defeat to Barcelona last month.
The club faces the Catalans once more in the Copa del Rey final on Wednesday and the Argentine feels that his side is in good shape to beat Gerardo Martino's men.
"It has nothing to do with La Liga or the Champions League and hopefully we'll play well. It's a final and they will come out and do their best," he told the club's official site. "We're on track. We have to keep doing our work and continue in that way. We're fine as we are. Finals are different games."
Reflecting on the title run in, Di Maria is targeting a strong finish to the Primera Division season, with Madrid having moved level on points with Atletico Madrid thanks to a 4-0 win over Almeria on Saturday.
"We know there are a lot of twists in the La Liga. We started down the table, then we took the lead... We're still thinking about ourselves, about the fact that there are several 'finals' left and we have to play them as such," he said. "We want to play well. The match against Dortmund was just a misstep and we don't want to repeat it.
"I think that the people who are playing are demonstrating that they want to be there and that they want to fight for a place in the starting eleven, to play in the cup final, to play in the Champions League and that is the best thing for the team."
- Sports & Recreation
- La Liga
- Carlo Ancelotti
- Gerardo Martino