[Xiaomi Mi Mix 3 Questions & Answers] ~phoeny~:
Even with a locked bootloader a thief can hold VolUp while booting, wipe phone and sell it. Wiping is possible in any case and thats not even the issue a stolen Phone is gone.

The issue are your data which can be stolen too when you have a unlocked bootloader. Simply boot to twrp connect usb and copy everything. But you can prevent that with encryption and enable "requires pattern to start". That way if your phone gets stolen the thief can still Install/use Twrp but he needs to enter a pattern to decrypt the storage. If he doesnt, twrp wont be able to read the partition and your data is safe. He can still wipe the Phone and sell it but you cant prevent that. I don't know if the pattern generates the encryption keys or retrieves them from somewhere but i'd assume it generates them, probably together with some device specific values, else that would be a flaw in my book. If someone could enlighten me here that'd be nice.

If your bootloader is locked he also can't access your data. Since stock recovers doesn't allow/support Usb-filetransfer. So a lockpattern is all you need there. Encryption shouldnt really matter against the normal thief.

I am going this way: Unlocked bootloader to get rid of Miui, Twrp to have a proper recovery menu, and encryption+pattern to save my data. Disable USB-Developer Options to prevent adb shenanigans.

But on the hand if you wan't to get really panariod a locked bootloader would be better since you still can read the system image from the phone from twrp, this means, and this is a easy way to do it, you could read it copy it to the pc and simply brutefroce the lockpattern. If you have the partitions you can simply try 3 patterns either it works or the phone locks itself up because you did 3 wrong. If it locks up you simply write the partitions back and try again. If you can do 3 in 30 seconds you are done in 45 days since there are only 390.000 different patterns on a 3x3 grid (which is what most people use since some Roms don't even allow for 4x4 or 5x5) but if you emulate it and can do 3 in 15 seconds you are down to 23 days. If you run it in 20 emulators you are done in 1 day. (That would be an awesome weekend project.) In emulation you could really optimize this since you can cut everything out what isn't needed for the attempt to encrypt the partition. you dont even need the screen to load, simply send the decryption module whatever the last module in the Numbers-from-touches-chain would have sent, everything that is loaded before the attempt to decrypt must be unencrypted therefore can be messed with, probably it's even universal across phones since that's a stock android thing. If it tries to write used attempts, save whatever what gets overwritten beforehand, let it write its thing, kill the process, revert changes and try again with the next set. Maybe you get it down to 3s or 4s for 3 attempts and boom you are at 6 hours to encrypt any android phone, no matter which version, with an unlocked bootloader which uses a 3x3 pattern. But your data would be really valueable to someone if they did this. You can't do that with a locked bootloader since you can't read the partitions or you could just use the 5x5 pattern, which you cant do on MIUI (i just tried and havent found where you could change it). But probably i have a giant oversight in there so this probably woudn't work

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On the other hand if you want to recover your phone you should make it as easy as possible to get the thief into your phone since you dont want them to run it off and wipe it. I DONT RECOMMEND THIS. But you could make a 2nd user who has no lock pattern on it. Concider your Data public at this point but while they are busy looking at your selfies you could use a app like prey to track the phone. But since Data are more important than a phone i'd never do or recommend that.