Update to EGR Situation
I just filled up and this tank was 44.21 MPG. It appears my theory was correct, the ScanGauge was reading wrong with the EGR system connected. It was previously calibrated with the EGR system disconnected and not working. Even though 44 MPG is lower than my earlier 47 MPG tank, I blame it on about 100 miles of faster highway driving (65-70 mph) due to me being in a hurry. So I'm convinced everything is normal.
The only issue is that my aftermarket O2 sensor is not performing well. The EGR system is a crucial part of the lean burn system on the HX motor. With it disconnected the car won't try to engage lean burn. With it connected again, it tries to enter lean burn. My low quality aftermarket O2 sensor cannot handle lean burn A/F ratio's, so the car stalls out and stumbles every time lean burn engages. I have to keep the EGR disconnected until I get a new OEM O2 sensor.
Bye bye $360
