Maybe you need a better fuel pressure gauge or connection? The pump check valve is the most common point of leaking fuel pressure but the regulator, injectors and all the lines and connections need to hold as well. Maybe start a thread if you want to look into this further?

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1988 325is (purchased new) sold
2004 X5 3.0 2005 X3 2.5
2008 X5 3.0 (new to me)