What it does
Doesn’t save history, cookies, or form data locally after you close the window. That’s the entire feature. The browser forgets what you did. Nothing else does.
What it doesn’t
Hide your IP from sites. Hide traffic from your ISP. Hide activity from your network admin. Block trackers. Encrypt anything. Make you anonymous.
What you actually want
VPN for ISP-level privacy. Tor for actual anonymity. Brave or Firefox + uBlock Origin for tracker blocking. Incognito is none of these.