A slow start to the season - which saw them drop consecutive league games against Real Sociedad and local rivals Atletico Madrid - saw Real coach Carlo Ancelotti come under question.
Much was made of Ancelotti's decision to let Angel Di Maria and Xabi Alonso leave the club but the critics have since been silenced by a scintillating run of form.
In Real's 12 successive triumphs in all competitions, they have scored a stunning 47 goals, highlighting their potency in attack.
And it is not like Real's wins have come against Spanish strugglers - successes against Barcelona, Liverpool (twice) and Basel have come in the hot streak.
Karim Benzema scored the only goal on that occasion - his fifth in as many games - as Real qualified for the competition's last 16 with two Group B matches to spare.
"I think that we have been on a roll in our last seven or eight games, and we have scored goals," Rodriguez said.
"We just have to keep going in this direction.
"But we are also aware that there's still a lot [of games] to go to the end of the season."
Rodriguez's thoughts were echoed by the red-hot Benzema.
"We are going through a great period at the moment," he said.
"I am really enjoying [it] on the pitch at the moment, just like every player. We are all involved in every play. We defend and we attack together."
With 17 league goals already, Cristiano Ronaldo is comfortably La Liga's top scorer - some eight goals ahead of Barca star Neymar - and after a rare off night in front of goal against Liverpool, he is sure to be fired up.
But it is at the back where Vallecano are expected to be tested, and history does not make for good reading for fans of the visitors.
