I used to use ~$25 Tiffen filters (UV, ND and CPL) and I never had any such issue. The only reason I stopped using them was because I generally felt like the images had a little more "pop" without them (aside from the CPL) and I'm not afraid of damaging my cheapo lenses with hoods on them.
You should avoid stacking filters as much as possible. I have used a CP and Grad ND together, but that is about as many as I am likely to stack. Also, the CP is a B&W (good filter) and the Grad ND is a Cokin. Be sure to remove your UV filter if you are using another (there is no need for it at that point).
Below is a link to a Lens Rental blog post were they did some tests with stacking filters. Although they took it to the ridiculous by stacking 50 filters, they also did a stack five cheap UV filters and there was a hugh difference (looked hazy).
http://www.lensrentals.com/blog/2011...th-bad-filters
5DS R, 1D X, 7D, Sigma 10-20mm f/4-5.6, 24mm f/1.4L II, 16-35mm f/4L IS, 24-105mm f/4L, 50mm f/1.8, 100mm Macro f/2.8L, 70-200mm f/2.8L IS II, 100-400mm f/4.5-5.6L, 580EX-II
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Franco....your post reminded me of this blog over at lensrentals.com:
http://www.lensrentals.com/blog/2011...th-bad-filters
Also, as I am currently evaluating square filters myself, stacking them is probably a good test.
BTW...regarding my first post above, I thought you were getting "fogging" with a single filter. Makes sense that it is multiple filters stacked (of if you did get it from a single filter, I'd return that filter).
Franco; you said you bought “cheap” filters and “stack three filters”.
I think you kind of exposed the problem.
I bought some of the cheap Cokin’s the same time I bought my Sing-Ray filters. I looked the Cokin’s over and packed them right back up and shipped them back to B&H. I could easily see they just weren't the quality I wanted. I agree with you, this type of filter is really convenient and IMO it is really the way to go vs. the screwed in type.