The more the current draw on the alternator, the more resistance to roatation it produces and thus more "drag" from the engine. When you turn more electrical consumers on, it does decrease your power available from the engine to turn the wheels, althought not by a terribly large margin.

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Ali Al-Chalabi

2001 CLK55
1999 Dodge Ram 2500 Cummins Diesel
2002 Harley-Davidson Fatboy
Merlin Extralight w/ Campy Record