Problem with my 2003 Holden Rodeo 3.0 turbo diesel

Hi, I was wondering if anybody has had a similar problem with their 3.0 Rodeo turbo diesel ? My (2003 model) has developed a whooshing sound (like wind noise) under load (normal driving); it still has good power during highway driving. It does not make that sound when revving it in neutral or with the clutch in, (matter of fact it revs beautifully), it only happens under load. The exhaust is perfect and so are all the other hoses but the air filter seems to be oiling up a fair bit and the EGR valve has become blocked. It has a performance chip and a 3" exhaust. It went really well when I bought it 18 months ago but has lost a bit of power now; I recently replaced the more loosely folded paper air filter that it came with, with a new standard tighter folded paper and wire mesh air filter and the turbo now cuts in at 2,200 revs instead of 1,550 revs before. It actually performs better when I put the old oiled up filter back in. A mechanical friend recently blocked off the EGR hose and said it would perform better now but I have virtually no power at all below 1,550 revs, can anybody shed some light on this situation please ? Pablo.