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By adjusting the anodization voltage periodically in the process of electrochemical oxidation of aluminum and subsequent chemical etching, anodic aluminum oxide membranes with a dual periodic layer-by-layer structure are prepared. Optical transmission spectra analyses prove that the dip position is dependent on the thickness of the layer and can be easily adjusted by the anodization voltage according to the Bragg--Snell formula. This result implies that the position and width of the stop band and the pass band in the visible and near infrared wavelength region can be designed and prepared arbitrarily. It is expected that these kinds of anoclic aluminum oxide membranes may find applications in the fabrication of various optical devices.