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I'm using Sony a6500 with Sigma f1.4 16mm lens and I have recently bought a ND 6-stops filter and a polarizer filter.

I have read that in some cases it is recommended to use both of them.

Is there any difference if I put the ND filter before the polarizer (that is, closer to the lens), as opposed to after it? Is there any effect or downside if the light passes through polarizer before ND?

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Try it both ways and see what happens. Maybe it is different one way from the other. Now you have two possibilities to create a picture you want. Or maybe it doesn't make a difference in a way that matters to you.

The most likely way it will make a difference is mechanically.

One way is probably a little easier in terms of making photographs than the other. Maybe it is easier to turn the polarizer if it is first. Maybe it is easier to turn if it is second.

Maybe it is easier to compose and set exposure with one filter on. (or maybe not).

The right way is the way that works for you. Not what someone on the internet says...well except for this of course.

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A polarizer usually cuts down on some light transmission, perhaps by as much as 2 stops.

You absolutely can stack your filters. Many people do it to achieve different effects. The only potential downside is that as you introduce more glass in front of the lens, you are also potentially losing image quality. This is why people will spend a lot on high-quality glass lens filters.

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