Dynamic Time Warping (DTW) is a very popular similarity measure used for time series classification, retrieval or clustering. DTW is, however, a costly measure, and its application on numerous and/or very long time series is difficult in practice. This paper proposes a new approach for time series retrieval: time series are embedded into another space where the search procedure is less computationally demanding, while still accurate. This approach is based on transforming time series into high-dimensional vectors using DTW-preserving shapelets. That transform is such that the relative distance between the vectors in the Euclidean transformed space well reflects the corresponding DTW measurements in the original space. We also propose strategies for selecting a subset of shapelets in the transformed space, resulting in a trade-off between the complexity of the transformation and the accuracy of the retrieval. Experimental results using the well known UCR time series demonstrate the importance of this trade-off.