Almost all screw-in filters have male threads on the back and female threads on the front, allowing you to stack them. Even for types of filters where people don't usually put filters in front of them, most of those filters have front threads, if for no other reason than to accept a lens cap.
There are a small handful of ultra-thin circular polarizers that don't have front threads, because they are intended to be used on wide angle lenses while not causing vignetting.
You might be concerned slightly with vignetting with your Sigma 16mm ƒ/1.4 DC DN. Stacking too many filters in front, or filters with deep rings, might start vignetting. Also understand that screw-in graduated ND filters have freely-rotatable front ring (just like a polarizer filter), which adds depth to what could be and otherwise thin filter.
When choosing circular filters, you are committed to the filter thread diameter. Your Sigma 14mm lens has a 67 mm filter thread, so that is the smallest filter size you should go with. You can go larger, with the use of a step-up ring to adapt the 67 mm thread of your lens, to say, a 77 mm diameter filter.
Will you ever use these filters on any other lens you have or might get? If so, it behooves you to size the filters for the lens with the largest thread.
But going back to the subject of vignetting, if that is a possible concern (and it is when talking about wide-angle lenses), you can mitigate or even eliminate that issue by using larger diameter filters. Of course, you must consider the small added depth of a step-up ring, so my caution is to size up even more.
It's not clear from your question if you are aware, but the entire reason to use square filters & holder system is when using graduated ND filters. The square filters can slide up or down, placing the transition line high or low in your field of view. This allows you to compose the scene as you wish, aiming your camera exactly where you want it. You don't get that freedom with screw-in graduated ND filters. The transition line is usually across the middle of the filter, so you have to aim your camera to position the transition line where it needs to be.
This lack of creative control is exactly why people usually choose square filter holders with ND grads.
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