In order to improve the computational efficiency of conformal predictor, distance metric learning methods were used in the algorithm. The process of learning was divided into two stages: offline learning and online learning. Firstly, part of the training data was used in distance metric learning to get a space transformation matrix in the offline learning stage; Secondly, standard CP-KNN was conducted on the remaining training data with a nonconformity measure function defined by K nearest neighbors classifier in the transformed space. Experimental results on three UCI datasets demonstrate the efficiency of the new algorithm.