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I have iPhone4 and I shut it down by using power off button. Now I can't open the device unless I connect it to iTunes. I don't have backup and I don't want to lose my data and restore to factory setting when I connect to iTunes.

How should I proceed to bring it back up with all my actual data?

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You can use TinyUmbrella to force your iPhone out of recovery mode:

Open TinyUmbrella, connect your device and click Exit Recovery.

For more information, see this forum post:

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did you try to force reset the iPhone ?

Force reset

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It's too late for a force reset once it's demanding to be connected to iTunes. – Tetsujin Feb 3 at 13:55

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