The Hammers have struggled recently and have just two points from their last five league matches, and are without a win since September.
When asked about his side's recent form Pellegrini said: "Very bad. It's a very bad moment without any doubt.
"I always try to be optimistic, put my target as high as I can. West Ham must fight to be in the upper part of the table.
"The Premier League is very tight this season. You have three points between eight or nine teams. But of course we need to improve and we want to be in another position.
West Ham will continue to be without Lukasz Fabianski on Saturday, with the goalkeeper expected to be sidelined for at least another month.