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Well, when I was young and dumb, it made no sense to run with the tail gate down, all my empties would blow out!
If I had to guess, I'd say the old style square looking trucks probably do get better mileage with the tailgate removed, especially the long box ones; the new jellybean trucks probably don't. The manufacturers spend millions of dollars with wind tunnel tests working on coefficient of drag and lightweight materials; then we put on bug deflectors, tool boxes, spoilers, cow catchers, running boards, mudflaps, lift kits, roll bars and lights. I'll bet it drives those engineers nuts how much we have "improved" their trucks.