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Muscle does weigh more than fat, so if you're power-exercising you're probably going to gain at first, then streamline as your body finishes putting on the muscle it needs to keep up with your higher activity level and burn fat. These changes take months to stabilize, so don't be overly critical if you're not seeing results in a few weeks. For women, it can take a few months to get your body to slim down.
Talk to your doctor about the weight gain and hair loss - especially the latter. Good luck!