I want to apply an effect on all layers, except on HUD.
Is there another way than to apply the exact same effect on all layers?
There is currently no way for you to exclude layers, but you can still set layer effects for each of them individually.
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The latest releases have a new sub-layers feature which lets you do this efficiently. You can put all the layers you want an effect on as sub-layers of one layer, then put the effect on that one layer.