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It might be worth checking which type of Magnesium you are using. The more common form is Magnesium Oxide which is not absorbed particularly well and tends to draw water into the gut resulting in the loose stools you’ve been experiencing. Look for Magnesium Glycinate which is more bioavailable and does not have the same disaster-pants effect.
The headache and lethargy may be caused by dehydration. Make sure that you’re drinking plenty of water and ensure that you’re getting enough salt… see…
As for not losing any weight last week, that’s normal. You’ve depleted your liver Glycogen stores and as you’re exercising, also your muscle Glycogen, which will account for the majority of your initial weight loss. On Atkins, this was called PISS (Post Induction Stall Syndrome). Your body will be doing other things. Weight loss is just one benefit of Keto, but there are many other health restoring aspects which will be going on too.
Spend some time researching your fats as they’ll be 75% of what you’re eating. Lard, tallow, animal fats, coconut oil, olive oil, butter, and ghee are all good quality fats.
There’s a great FAQ on the forum too, but by all means if you have questions which are not covered by the FAQ and using the search function draws a blank, go ahead and post your questions on the forum. We’re a good bunch and always willing to help.