Abstract: The key point (turning point and extreme point) is the most important point characterization of time series,This paper proposes a novel algorithm of time series based on the three key points. First, It analyzes the time series form of three points; Secondly, it presents the turning point theorem and the three turning point theorem, And proved them; Finally, it gives the algorithm and experiment analysis. The experimental results show that the algorithm can accurately positioning key points in time series.