In Alberta weather, for cold starts, I would go to the lowest (0) rating.

I used to have an old Huyandai back in early 90s that burnt oil and I had to add oil to it once a week. Of course, it was the cheapest regular oil possible that I would put in. Well, the first time that I had to put a 'regular' 5w30 oil in a -20 celcius weather of Ottawa/Canada, and saw how that thing 'flowed' out of the bottle that was left in the car overnight (it was like pouring slushy)... I decided: 1) I needed to go synthetic and 2) would definitely use 0w40 in that kind of a climate.

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Currently driving: 2011 E70 x35i , 2011 E90 335d
Previous BMWs: 2007 E90 328i , 2005 E53 3.0i, 2011 F10 535i (6spd manual)