Using historical label as a feature in my ML model? I am working on a predictive model to predict change in the price of an asset (up, down, no change). The labeling is based on the derivative of the price and is exponentially smoothed with an alpha of 0.1 and so basically when the rate of change is above a certain threshold it gets a label 1, if below -1, and if not then 0. 

Because I am using an exponentially smoothed moving average for the label, am I still allowed to use historical labels as a feature in my dataset? So for example if my predictive variable is the direction for t+5, could I use label at point t? Because there is an overlap in the data used
Correct me if I'm wrong, but it sounds like you are using an EMA to generate the price that you will be using to label as either 1,0, or -1. If so, that is not a problem to do so with historical data, as EMA calculations are only affected by data previous to whatever record the EMA is being based off of. Just make sure that your historical data is calculated as if it was the present moment for every record.