Before explaining how to build a double canon into a work of music, one needs to know the definition of one.
Simply, it is when two canons (including their own pair of leader and follower) are played at the same time.
Similarly, when there are three different unique canons playing at the same time, it is called a triple canon; and so on, and so on.
Try building one canon. Once that is done, find out what best compliments the two running melodic lines. Next, get creative with the second canon while keeping in mind how each part sound to one another.
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