Against a formidable Ospreys pack which featured Welsh internationals Adam Jones, Richard Hibbard and Alun Wyn Jones, the Blues struggled at times but improved after the interval, the introductions of Taufa'ao Filise and Robin Copeland making a big difference.
And one huge forward drive, which marched the Ospreys back more than 30 metres, was a sign of what the Blues are capable of.
"We battled and although the first half was scrappy, we dug in in the second, worked really hard and did a decent job," said Davies following his side's 16-23 defeat.
"I thought our line-out went well with and without the ball and it was a good performance against one of the better packs in the league.
"Everybody played their part and it was a pretty even game. The front five performed well second half and the intensity Filise brought was great. There were some great passages of play and in the end, maybe we're a bit disappointed we didn't get closer to them."
Wales man Leigh Halfpenny scored all of the Blues' points on Saturday and gave them an early lead with a sixth minute try.
But the Ospreys replied with scores from James King and Jonathan Spratt and hung on for the win despite scoring just three points in the second half.
Much of that was down to an improved showing from the Blues leaving Davies looking forward to the start of next season.
"We've had some tough experiences this year but they are credible and we are moving in the right direction," he said.
"I'm sure we'll get the wins and move the team forward.
"I think the occasion inspired all four teams but we've been playing with that kind of energy all season. The effort of the players over the whole of the season has been fantastic."
Speaking on the Judgement Day experience, Davies added: "I thought it was fantastic. Hopefully next year we'll have 46,000 and it keeps building and building.
"If we get a sell-out crowd in time to come it will be fantastic for regional rugby."
Wales and Blues prop Scott Andrews agreed, saying: "It wasn't far off international intensity. It was a great occasion, we pushed them close but weren't quite good enough on the day.
"We stuck at it all day, didn't give up and it was a good test. Unfortunately we just fell a bit short.
"We knew we could cause them trouble and we did that on occasions. Seeing a good crowd in was definitely a lift."