If you want to make the look work, you need to make it look like the headband is actually doing something for you!
Start by putting the headband in your hair and then pull it into a low ponytail. That will prevent it from having the slicked back look. And leave approximately 1-2 inches of your hair in front of your ears when you put the headband in. You can always tuck that behind your ears later.
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This is a softer, more natural way to wear both a headband and a ponytail.