I don't think that works in a custom model (or even in the off-the-shelf QSortFilterProxyModel) - unless the model (or proxy) implements such multi-column sort behavior. How does a standard QSortFilterProxyModel know to maintain the sort on one column that contains duplicates while sorting a second column with respect to those duplicates? As far as I have seen, sorting on any column occurs independently of other columns and results in all rows being reordered solely on the sort order of the chosen column.to sort files by date, then name, you can first click on the "name" column, then on the "date" column.
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