To prepare the sauce, place the pan over medium-low heat. Check to see that there is enough oil in the pan. If not, add a touch more oil and then sauté the shallots until soft and golden.
Next, carefully deglaze with the calvados and flambé to burn off the alcohol.
SAFETY NOTE: when using spirits that have a high alcohol content, such as brandy, it should never be added directly from the bottle. The flame from the pan can enter the bottle and cause it to explode. And MAKE SURE TO STAND BACK before adding the alcohol. The flame can be quite high.
For safety reasons, the alcohol should be added away from the heat source or with the flame off. Then turn the heat to high and carefully tilt the pan a bit to ignite the alcohol. A gas lighter can also be used to do this.
Once the alcohol has burned off, reduce the Calvados by about half. Add the mushrooms and stir. Next, add the stock. Turn the heat back up to medium-high and bring to a simmer. Let simmer and reduce the sauce by about half. Do not let it reduce down to a sauce-like consistency. This is because you will be adding cream, which will thicken the sauce considerably.
Once the stock has reduced, add the cream and bring to a simmer. Reduce this by about half. If you happen to over-reduce the cream and the sauce is too thick, simply add a touch more stock to bring it back to the right consistency.
Once you reach the desired consistency, add the Dijon and sage. Taste for seasoning.