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I recently found a reference at the Danger Garden to Agave parryi, which is supposed to be hardy to zone 4.
I've never seen one of these for sale around Toronto or heard of anyone growing one of these around here (though just across Lake Ontario in Saint Catharines which I believe is a zone 6 (possibly a zone 6b) they tackle hardy bananas and fan palms with a great deal of winter protection, and have seen at least the hardy bananas for sale very locally.
I searched for "Agave parryi Toronto" and found this article which suggests they might be alright here.
How jaw droppingly stunning would that be anywhere in Toronto. Even if I can't grow it as a hardy plant I think I need one anyway. Some forms are more or less hardy as well so the one pictured may not be an option at all.
(Photo taken by Nauticashades, used under CC license from here).
It does make me recall a customer who came in one day and said he had bought a house that summer with a large fruiting fig plant established in the ground. The previous owners had left large sheets of plywood, wooden posts, foam insulation among other things in the shed for it, and I believe he said also some instructions about filling the insulated big box with dry mulch, something like straw. While ingenious and apparently surprisingly effective this would likely not work in the case of something like an Agave, which needs good airflow and light during the winter.
Might be possible to use a cold frame type enclosure for light, with an opening (probably on the east) for air flow without exposing the plant to harsh north/west wind, all on a raised bed for drainage (you could hide the supports for the frame in the corners of the raised bed for easy setup/removal. Probably insulate the sides but keep the top clear? I don't have room for something like this but just trying to think of ways it could work, hopefully for when I do have room.
Here at least drainage is a big issue (unless you made a raised bed, with very well draining soil to fill). I'm on terrible clay soil and it's sort of a problem. I've definitely lost plants to poor winter drainage before and suspect that that would be a sure killer for an Agave. But I did install a little retaining wall sort of thing last summer. Sure I then planted a very large Hosta in prime real estate but should it prove to be too big (and I think it will) I just might be forced to move it and try to track down an Agave parryi. It would be a nice area since it's already home of a Sedum and Sempervivum and I've got plans for more of each there (realistically though all I need is a new house... haha. But no really that would help a lot). I suspect that even in this "perfect" little spot drainage wouldn't be good enough, winter protection would be tricky, and space would still be limited.
Have you grown one? What zone are you and what sort of drainage do you have? What's the coldest you've had an Agave survive? How much constant snow cover can they tolerate? What winter protection do you use?
I suspect that this won't work for me (mostly because of wet winter conditions) but maybe one day when I'm feeling lucky I might give it a try.