My transmission on my 300D acted like that. I believe it's designed like that to help it get up to operating temperature faster. For what it's worth, my 380SL bucks like that when cold as well even in southern california.

Does your glow plug light turn on? If you have dead glow plugs, this won't illuminate which will definitely cause the problems you're describing. If it's illuminating, then you've done all of the basics.

I would do a compression test on each cylinder next and see what your numbers are. If I recall correctly, you might be able to increase the numbers by soaking the cylinder in marvel mystery oil. Others can chime in on this procedure.

I used to regularly start my 300D which had 300k+ miles on it regularly in central new york winters. The temp would easily hit 10-15* F . The engine always ran rough for about 15 seconds but would figure itself out in no time.

One thing that I think helped me was using 5w40 diesel oil in the winter. Would run it from Thanksgiving to about mid march and then switch to 15w40 for the summer months. Probably placebo, but worth a shot.

Assuming everything else is functioning correctly, give the lighter oil a shot.

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-Typos courtesy of my mobile phone.