Have you considered GIB (Gibraltar) as alternative, especially if you intend hiring a car etc. single change required at LHR. Also if windy in gib you get diverted to agp anyway.

Otherwise I would probably go for the lgw-agp route, frequent busses between two airports, and you get to se your luggage. Transfer costs not included in flight costs.

Alternatively, try yyz-JFK-mad-agp.