Madeira is an all-year-round holiday destination, winter rarely falls below mid to high teens degrees Celsius. In actual fact, late Christmas week and New Year is considered peak season, mainly because of the fireworks display.
For the turning of 2006/7 New Year, Madeira won the Guinness World Record for the biggest ever firework display. Even in tougher economic conditions, there is still a spectacular show.
However, here's a top tip for a winter vacation – consider coming to Madeira in early December. The Madeirans love Christmas and I know of nowhere else to rival the Christmas lights. The first two/three weeks of December tend to be fairly quiet. However, most of the lights are already up, affording you a wonderful sight without the crowds.
Every year the display changes. One year the lights failed to impress the locals and it was the main topic of conversation for the year that followed. Heads rolled at the 'lighting committee' and a new contractor was drafted in for the subsequent Christmas. If I recall right, it was simply because of a lack of multiple colours and a trial for more subtle themes. I certainly do not recall tourists complaining.
Anyway, try visiting in December, you will not be disappointed. The evenings are mild and typically not too wet. COVID may impact the Christmas market stalls but the lights and wonderful weather will shine through.