The growing importance of time series information measure raises questions about how to effectively cluster a large number of nonlinear complex time series data and accurately extract more hidden information from them. In this paper, a clustering measurement and classification method for complex time series, the symmetrical exponential Tsallis relative information (SETRI) measure, is proposed, which aims to address these problems. The intrinsic characteristics of different types of time series information could be validly identified by this method. The modified multidimensional scaling (MDS) method, based on the SETRI measure, has the ability to display the data in the form of graphs for intuitive exhibition and accomplish the process of dimension reduction. The introduction of weighted permutation patterns allows a higher-accuracy classification not only for the time series dissimilarity quantification, but also for avoiding dispensable errors. Besides, the feasibility of the modified MDS classification method is visually and quantitatively verified by the simulated and real-world data. Compared with other MDS methods, the proposed method has better performance, which is reflected in the validity and rationality of the clustering results, thus further verifying the feasibility of the proposed method. Therefore, the new results will be helpful to develop complex data clustering and dimensionality reduction methods.