It is capitalized at the beginning of the sentence or when it forms part of the proper noun
Examples:
North Asia
He headed north.
Another Answer
In my opinion, 'north' and 'south' should be capitalised whenever they refer to a location. For example, 'True North', 'True South', 'Magnetic North', and 'Magnetic South', are all locations and, so, should be capitalised.
On the other hand, magnetic polarities are not locations and should not be capitalised.
For example, "The magnetic polarity at Magnetic North is a south pole".
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