City won the Capital One Cup yesterday and are alive in the Premier League and FA Cup.
No English club has ever won a domestic treble of league title and both cups but Pellegrini said: "We are going to try.
"This is very important. It's an important cup and it shows that we can win trophies. For me, that is the most important thing and we hope we can continue that in the future.
"This will give us a lot of confidence. We are the only club that still has the chance to continue trying to win all the competitions."
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