This question is somewhat related to this one. What are the Protestant churches views on asceticism, what does the canon say about the tenants and is it Biblical?
Jesus says in Luke 9:23,
If anyone would come after me, let him deny himself and take up his cross daily and follow me.
This is likely where asceticism originates from. However, verses such as 1 Timothy 6:17 say that "[God] richly provides us with everything to enjoy." Asceticism tends to forego enjoyment for self-inflicted suffering.
Perhaps one of the strongest Biblical passages against asceticism would be 1 Timothy 4:1-5.
Now the Spirit expressly says that in later times some will depart from the faith by devoting themselves to deceitful spirits and teachings of demons, through the insincerity of liars whose consciences are seared, who forbid marriage and require abstinence from foods that God created to be received with thanksgiving by those who believe and know the truth. For everything created by God is good, and nothing is to be rejected if it is received with thanksgiving, for it is made holy by the word of God and prayer.
Since your question focuses on the demoninational views and not my own, I've compiled a list of denominational opinions for you.
GotQuestions (non-denominational) suggests that self-denial to a degree is an extreme response to an otherwise accurate interpretation of the command, citing the above verses that reflect that God wants us to be blessed and enjoy our lives.
The people of the United Methodist Church seem to encourage frequent fasting, but nowhere near the degree of self-mutilation of sleeping in freezing temperatures.
The Lutheran Church seems to take a similar view according to The Lutheran Church--Missouri Synod. The article cites how Luther "opposed artificial asceticism by showing that works cannot justify." Judging by Luther's early life and how he lived in extreme asceticism before rejecting such works and kickstarting the Protestant Reformation, it is reasonable to assume that "artificial asceticism" extends to doing things like sleeping outside during a blizzard (which Luther himself did multiple times almost to the point of death).
Pentecostals originally were heavily ascetic, but it seems that somewhat of a shift is being made away from such doctrine as a result of the Full Gospel Movement (specifically Prosperity Gospel, which holds that all financial and material gain is in accordance with God's will).
All in all, it seems that the proper way of life according to the Protestant interpretation of the Bible is to fast and abstain as necessary to grow closer to God, but don't hurt yourself.
God bless. :)
Sources (I can only post one link because StackExchange doesn't trust me yet.):
Luke 9:23 ESV
1 Timothy 6:17 ESV
1 Timothy 4:1-5 ESV
Got Questions on Asceticism
United Methodist Church (Pastors debate value of Lenten sacrifices)
Lutheran Church - Missouri Synod
Pentecostal Asceticism and Prosperity Gospel: Civil Society and the Search for Development Alternatives in Cameroon (Page 80, found on Google Books), and ‘Winning Ways’: Globalisation and the Impact of the Health and Wealth Gospel by Stephen Hunt
I am Protestant.