In order to improve the transmission reliability in current wireless communication systems, the Hybrid Automatic ReQuest (HARQ) protocol is employed to manage the unknown time-varying channel. The acknowledgments are fed back with delay on the return link. To fill up the idle time between a transmission and its acknowledgment, parallel HARQ streams associated with different messages are carried out. In this paper we improve on parallel HARQ by proposing a multi-layer HARQ protocol (also called superposition coding or multi-packet HARQ), where a single transmission may carry information on multiple messages. The multi-layer HARQ protocol works in presence of delay on the return link as parallel HARQ does, and does not require additional feedback such as the channel state information. It aims at improving the accuracy as well as the user's delay distribution, thus achieving throughput increase. Assuming capacity-achieving codes, we show that the proposed protocol outperforms parallel HARQ in throughput, message error rate, and delay distribution. Using practical codes and decoding algorithms the gains are as well significant, at the expense of the receiver's complexity.