Allardyce steered Bolton into Europe before leaving for Newcastle last spring but Lee's brief stewardship has left the club in trouble and desperate to beat fellow strugglers Middlesbrough at the Reebok tomorrow.
"Nobody can put their finger on what went wrong under Sammy," admitted Davies.
"But Gary Megson has come in and stressed we need to be difficult to beat. We've gone back to 4-5-1 - [from Lee's 4-4-2] getting men behind the ball when we're defending and going to 4-3-3 when we're attacking and it's working. I'd gone nine or ten games without scoring and it was wearing me down but the new manager's given me confidence. I don't think I've scored a bigger goal in my career."