Despite creating a number of scoring chances in both matches, McCall's men have been defeated in their last two away fixtures at Southend United and Swindon Town.
The Bantams chief feels positives could be taken from both of those losses, and he was encouraged to see City continue to conjure up opportunities during their goalless home draw with Charlton Athletic last weekend.
With a nine-day gap between Saturday's game and the home match with Scunthorpe United on Boxing Day, McCall wants the Bantams to go into Christmas with the early present of a Walsall win.
McCall said: "Performance-wise, we have been fairly happy with all of our away matches so far this season.
"There is no doubt that the last two games on the road have been disappointing results but there was a lot to take out of the performances.
"We know we have not scored enough goals recently - that is the whole team in general. That is defenders, midfielders and forwards - we are all in it together.
"We go to Walsall with a real determination to get the three points. We want to get back to winning away games, something we did well in the early part of the season.
"We will continue to try and play in a manner that will give us a lot of opportunities to score.
"We have been creating scoring opportunities in recent games and we take the positives from that.
"I saw Walsall pick up an impressive victory at Sheffield United recently, and I think they have one of the stand-out performers in the division so far in Erhun Oztumer.
"We have some good players ourselves though, and we'll be looking to stamp our authority on the game.
"With there being a gap of nine days until our next game on Boxing Day (vs Scunthorpe United), it is all about the result for us on Saturday.
"We'd obviously like a performance as well but the three points will be the main thing."