Here I'll be using the stock data of ALcoa Corp. (aa.us).. Input feature = [Open, High, Low, Close, Volume] Target feature = [Close] Taking previous 5 days data, we will predict next 3 days close price. For better understanding of Loung Attention, one can refer to https://levelup.gitconnected.com/building-seq2seq-lstm-with-luong-attention-in-keras-for-time-series-forecasting-1ee00958decb.