For wind turbine fault warning, original Dynamic Time Warping (DTW) algorithm cannot measure the distance effectively between two multivariate time series data of wind turbines. Aiming at this problem, a DTW algorithm based on Hesitation Fuzzy Set (HFS-DTW) was proposed. The algorithm is an extended algorithm of the original DTW algorithm, which can measure the distance of both univariate and multivariate time series data, and has higher accuracy and speed compared to the original DTW algorithm. With the sub-sequence similarity distance applied as cost function, the length of sub-sequence and step parameters in HFS-DTW algorithm were optimized by using Imperialist Competitive Algorithm (ICA). The study shows that compared to the only DTW algorithm and the HFS-DTW algorithm with non-optimal parameter, the HFS-DTW with optimal parameter can mine more information on multi-dimensional feature point, and the output multi-dimensional feature point similar sequence has more details. And based on the proposed algorithm, the wind turbine gearbox fault can be warned 10 days in advance.