I'd start by checking for exhaust leaks
The best way to find an exhaust leak is to run the engine from cold and feel around the exhaust joints with your bare hands - you'll have about 30 seconds before it all gets too hot and you should feel any escaping gas blowing over your fingers
also check the connections to the EGR valve, if either the vacuum pipe of electrical connection are damaged / corroded then the EGR can be on all time which certainly will hurt performance. Its also possible that its a fault with the EGR valve so its worth removing the valve and cleaning it out with brake cleaner, if it looks particularly clogged then replace it.
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