Malaga have won just once in their last six games in all competitions to slip to 13th in the table, level on points with their opponents.
They went out of the Copa Del Rey to Osasuna in midweek and Caballero knows it is important to finish the year on a high.
The Argentinian, who spent almost seven years at Elche before joining Malaga in 2011, said on the Malaga website: "I am really looking forward to returning to Elche and playing at their stadium with Malaga.
"We need to come home with a good result from this match and end the year on a positive note, so we can move up the league table and achieve our first away win.
"Elche have been performing well both in home and away matches, so Friday's game isn't going to be easy.
"I hope we can focus on our creativity on the pitch, maintain a good rhythm of play and come away victorious.
"We need to get used to winning and keep aiming high. If we don't we'll only ever give a mediocre performance."
Midfielder Sergi Darder also emphasised the need for a victory.
He said: "We'll put all our strength into the last game of the year, against a team who we're equal to on points in the league table. We need to win on Friday, whatever happens."
Malaga can take heart from the fact Elche are also in the midst of a sticky patch, having won only once in nine.
Back-to-back league defeats have left them looking over their shoulder, four points above the drop zone.