In a mixing bowl combine lemon zest, chopped sage, salt and pepper. Rub all filets of trout with olive oil and season with lemon-sage seasoning mix. In an oven or open grill, roast trout at 350F for 10 minutes on a greased sheet pan. Roast until the thickest part of the filets start to flake.
While trout is cooking saute the chopped shallots, garlic and bay leaf over hight heat. When the shallots are sweated deglaze the pan with white wine and lemon juice then reduce the liquid by half. Add the heavy cream and reduce that liquid by half. While the liquid is reducing set the butter aside and let it reach room temperature.
Remove sauce from the heat and slowly whisk in the room temperature butter until all the butter has been incorporated. Adjust seasoning and strain the sauce through a fine mesh seive. Serve immediately.