Turning a browser’s “incognito mode” is basically setting up a new place for the browser to store things (like history, cookies, and other cache things), and promising to delete that space once you close the browser. So anything that tracks based on your local device will be (relatively) private, because the you that is using it didn’t exist beforehand and won’t exist afterwards (at least by your computer’s perception). Of course, if you (or something malicious) save(s) anything outside of that temporary place or if something goes wrong with the deleting step, then that data will stick around.
But that *local* word is a big issue. Your internet use goes through a bunch of different places and devices every time you do anything online, so if any of those places keeps track of what you are doing then it will still remember everything you are doing no matter what your local device keeps track of.
Unless you think there’s a real chance of some third party getting access to your local files from your device (such as a shared computer), the biggest use of incognito mode is to log in to the same website with different accounts or to reset a website’s algorithms to the default. Any sense of privacy beyond the first case is exaggerated and is not enough to stop your ISP from giving the FBI agent with a warrant the list of sites/download sizes you’ve used, or your account owner a list of websites that hit certain keywords that you’ve visited.
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