Thanks a lot! Now I totally get your idea. Still, I thing there is one point for which I have not be very clear I think.
What I want is to predict only the last label. So, let’s say I have T timesteps, I want to use T-1 labels to help predict the Tth label. However, here, I think that what we do is try to predict every labels.
What I want is to use the f features of the T days + T-1 labels in order to predict the Tth price.