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You may also be interested in the following articles.

Special effects

Filters

Cokin A Series Square Filters

Cokin P Series Square Filters

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Duplicating Slides

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Multiple Exposures

I'm not a great fan of special effect photography. I used to be when I started taking pictures. I still have dozens of special effect filters. You name the filter and I have it. I haven't used them in a long time but must admit, they are fun to play with. I prefer to photograph thing as they are. I use polarizing or graduated filters to balance exposure or boost colors, but see no reason to add a rainbow filter to create a fake rainbow. Even when I scan my images, I don't spend hours manipulating them by cutting and pasting objects that were not there when I took the shot. I try to make my images match the original as closely as I possibly can. Don't get me wrong. I have nothing against digital, darkroom, or camera special effects. Actually, if you can be creative and artistic, by all means do whatever you can with your pictures to make them even better.

Multiple exposure is another way to create some unusual effects without filters. I haven't used this technique in a long time and when I did, I didn't do a good job. Making multiple images is easy. What is difficult is being creative. I have used this technique to add the moon to a moonless landscape or city skyline. You can use multiple exposure to do much more. You must keep in mind one important factor when making multiple exposures. You must adjust exposure for each shot or you will overexpose. For two exposures, you need to underexpose each shots by one full stop. You can either set ISO to one faster setting or dial -1 stop of exposure compensation. If you want to use the ISO setting with ISO 100 for example, you would set the ISO dial to ISO 200 to take each shot. Make sure to reset the ISO back to original setting or if using the compensation dial, zero the dial or you will underexpose remaining frames.

If you like to make more than two exposures, you must reduce exposure more than one stop. For three shots, reduce exposure by 1 2/3 stops, for four exposure 2 stops, for six exposure 2 2/3 stops, for eight exposures 3 stops and so on. You can use exposure compensation or ISO setting for multiple exposures as well. If you want to make eight exposures, set compensation dial to -3 setting. If you prefer to use the ISO setting, multiply the ISO number times the number of exposures you want to make. To make four exposures on ISO 100 film, set ISO dial to 400: 100 x 4= 400. Metering is done as usual. Meter the scene and adjust settings and then underexpose shots depending on the number of exposures you want to make. By the way, if background is black such as night sky, no exposure compensation is necessary.
You can also make double exposures by using double exposure filters. These are half black and half clear. Place the filter over the lens and cover half the frame. Take the first shot then rotate the filter and take the second shot. No exposure compensation is needed for this technique since the dark half won't allow the light to expose the film.

Most current SLRs have multiple exposure capability with some even adjusting exposure automatically. If you are using an older manual focus camera, you can take multiple exposures by pressing the rewind button and advancing the shutter while holding the rewind knob down to prevent it from turning.

I looked through my files to find a good example of multiple exposure to place it on this page. Since I don't use this technique often, I couldn't find a good example. The ones I have are from the first days of my photography and believe me, you don't want to see them!
 
Cokin Creative Filter A346 Double Exposure

Cokin's double exposure filter is composed of a black mask which covers half of the surface of the lens, permitting two successive exposures & allowing you to place the same subject in your picture twice (or insert another subject)