I live in Zone 5 and tried to keep Golden Showers going 3 times, no dice. Joseph's Coat, not even close, acts like Zone 6. Victorian Memory is zone 4, John Cabot, Darlow's Enigma, and Laguna is techically Zone 5 but thrives without extra protection. Another thing you can do is wrap the roses in burlap, just one layer plus mulch.
We're on the border of zone 4 and zone 5 in Maine. Sky's the Limit is a lovely butter yellow that has done well, although the canes often die back and it has to start over. Likewise Climbing Westmoreland a lovely orangey yellow. When the canes die back the new ones alway produce roses by late June.
New Dawn, a nice shell pink, produces canes that don't die back.