The colder the better to an extent. It becomes a balance of the variables.
There is no "magic" number.
You have to look at:
1. Air Density (colder air = denser air = more oxygen available for combustion) End result is ECU runs more timing and car makes more power. The difference between very cold and very hot can be a significant amount of horsepower.
2. Traction in very cold temperatures might be an issue
3. Oil/Coolant configuration should match environment car is located in