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I have frequently heard this phrase and used it myself when I've gone in a wrong direction either physically or at work metaphorically. However, I wonder why the phrase is double back, since once you realize the mistake that you have made, you only go back the way you came once, not twice or double the distance.

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IF you were to look at the tracks your feet are making you'd find that there would now be a double set of them. –  Jim Dec 21 '12 at 16:03
    
double also means fold –  jlovegren Dec 22 '12 at 1:47
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It is figurative.

If you take a rope, and fold it in half so the loose ends are together and your load/friend is hanging from the other, you have doubled the rope.

Walking out to some point and then walking back along the same route is like walking along a doubled rope, and it draws a contrast with a round trip which may have different routes for the outward leg and the return.

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Doubled can mean bent back upon itself. When it is used in this sense, it is often paired with up, down, back, and backward. Hence when your path turns back upon itself you can say that you double back. For examples, see this excerpt from A New English Dictionary on Historical Principles:

8. To bend (a piece of cloth, paper, etc.) over, so as to bring the two parts into contact parallel; to fold; to bend (the body, etc.) so as to bring distant parts into proximity; to close, clench (the hand or fist). Often with up.
(In quot. 1589, to close (the ears).) c 1430 Two Cookery Bks. 39 Take a pese of fayre Canneuas, and doble it. 1589 PUTTENHAM Eng. Poesie III. xxiii. (Arb.) 282 To solace your eares with pretie conceits after a sort of long scholasticall preceptes which may happen haue doubled them. 1665 HOOKE Microgr. 9 They double all the Stuff .. that is, they crease it just through the middle .. placing the two edges, or selvages just upon one another. 1694 DRYDEN Love Triumph. III. i, The page is doubled down. 1778 MAD. D’ARBLAY Diary 3 Aug., He doubled his fist at me. 1874 BLACKIE Self-Cult. 42 Bending his back, and doubling his chest. 1885 BIBLE (R. V.) Exod. xxvi. 9 Thou .. shalt double over the sixth curtain in the forefront of the tent. 1893 A. H. S. LANDOR Hairy Ainu 54 Crouched as she was, doubled up, with her head on her knees.
b. To double up (a person): to make to bend or stoop, as by a blow; hence fig. to finish up, cause to ‘collapse’. (slang or colloq.)
1814 Sporting Mag. XLIV. 278 Planting a blow on the side of Perrot, which doubled him up. 1883 J. PARKER Tyne Ch. 108 Never saw a man so doubled up [in argument]. 1891 E. W. GOSSE Gossip in Library xxi. 275 This master of science [pugilism], who doubled up an opponent as if he were plucking a flower.
c. intr. (for refl.) To become folded together or bent over; to fold, bend.
? 1650 Don Bellianis 164 With such terrible incounters that the knight .. doubled backward upon his horse. 1875 DARWIN Insectiv. Plants vii. 163 After 10 hrs. 15 m. .. the blade quite doubled up. Mod. His knees doubled up under him. The leaf has been folded, and tends to double over.
d. Billiards. (a.) intr. Of a ball. To rebound. (b.) trans. To cause (a ball) to rebound: cf. DOUBLET 7.
1885 Billiards simplified (1889) 50 If you .. hit the red nearly full, so that it doubles down the table [etc.] Mod. You can double the ball into the middle pocket.
9. Naut. (trans.) To sail or pass round or to the other side of (a cape or point), so that the ship’s course is, as it were, doubled or bent upon itself.
1548 HALL Chron., Hen. VIII. II b, If you wil bring your shippe into the bay of Hardines, you must double ye poynt of Gentilnes. 1585 T. WASHINGTON tr. Nicholay’s *Voy*. I. X. 12 B, Having doubled the cape, we passed along. 1665 Phil. Trans. I. 42 To go into the East Indies without doubling the Cape of Good Hope. 1867 FREEMAN Norm. Conq. (1876) I. v. 295 The invaders doubled the Land’s End and ravaged Cornwall.
b. intr. To get round. To double upon (in naval warfare): to get round to the other side of (an enemy’s fleet), so as to inclose it between two fires.
1769 FALCONER Dict. Marine (1789) A a ij b, The lee-line .. cannot so easily double upon the van .. of the enemy. 1856 Emerson Eng. Traits v. 91 Nelson’s feat of ‘doubling’, or stationing his ships one on the outer bow and another on the outer quarter of each of the enemy’s. 1867 SMYTH Sailor’s Word-bk., Doubling upon .. a hostile fleet .. as Nelson did at the Nile. 1875 F. HALL in Lippincott’s Mag. XVI. 751/2 I doubled nimbly round a couple of corners, and paused again
10. intr. To turn sharply and suddenly in running, as a hunted hare; to turn back on one’s course; to pursue a winding or tortuous course.
1596 DRAYTON Legends ii. 382 To the Covert doth himselfe betake Doubling, and creepes from Brake againe to Brake. 1690 DRYDEN Amphitryon IV. Wks. 1884 VIII. 75 See how he doubles, like a hunted hare. 1724 DE FOE Mem. Cavalier (1840) 95 He found the river fetching a long reach, double short upon itself. 1828 D’ISRAELI Chas. I, I. iv. 87 The nogociation doubled through all the bland windings of concession and conciliation. 1864 D. G. MITCHELL Sev. Stor. 306 They suddenly turned to double upon their walk again.
11. fig. (intr.) To make evasive turns or shifts; to use duplicity, act deceitfully. ? Obs.
1530 PALSGR. 525 2, I double, I varye in tellying of my tale. . . Nay, and you double ones, I have done with you. 1578 HUNNIS Hyveful Hunney Gen. xii. 25 Why has thou dealt thus craftely And doubled so with mee>? 1624 Trag. Nero III. iii. in Bullen O. Pl. I. 54 Why with false Auguries have we bin deceiv’d? What, can Celestiall Godheads double too? 1649 Bounds Publ. Obed. (1650) 35 Who have been .. attent not to double with their God. 1820 SCOTT Ivanhoe xxxv, If thy tongue doubles with me, I will have it torn from thy misbelieving jaws.

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You double the distance because you made a mistake to go that way at all. Had you avoided your mistake, you would have saved yourself "2x" the travel (out, and back).

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There doesn't need to be a mistake. You could double back because the weather turned bad, you left your phone, or you just got bored. –  Roaring Fish Dec 21 '12 at 16:13
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@RoaringFish NewAlexandria is referring to the situation described by OP. –  StoneyB Dec 21 '12 at 16:16
    
The real issue to me is the timing of the use of the idiom. When I feel the need to use it, I'm only going to be traveling 1X distance back from that point onward. Yes, I did travel 2x from the time I set out, but I traveled only 1x from the time I used the idiom. –  Danish Dec 21 '12 at 16:37
    
@Danish that's the fun of this expression! –  New Alexandria Dec 21 '12 at 17:24
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