This paper presents and application of Genetic Programming (GP) for time series forecast. Although this kind of application has been carried out with a wide range of techniques and with very good results, this paper presents a different approach. In most of the experiments done in time series forecasting the objective is, from a consecutive set of samples or time interval, to obtain the value of the sample in the next time step. The aim of this paper is to study the forecasting not only on the next sample, but in general several samples forward. This will allow the building of more complete prediction systems. With this objective, one of the most widely used series for this kind of application has been used, the Mackey-Glass series.