make-curve.py

import bpy
from mathutils import Vector

w = 1 # weight
Scale = 0.03

def readCoords(filename):
    with open(filename, 'r') as File:
        Coords = [[float(x) * Scale for x in line.split()] for line in File]
        return list(map(Vector, Coords))

ListOfVectors = [Vector((0,0,0)),Vector((1,0,0)),Vector((2,0,0)),Vector((2,3,0)),
                 Vector((0,2,1))]
ListOfVectors = readCoords("/Volumes/Stuff/3d/Lorenz/3d-data.txt")

def makePolyLine(objname, curvename, cList):
    curvedata = bpy.data.curves.new(name=curvename, type='CURVE')
    curvedata.dimensions = '3D'

    objectdata = bpy.data.objects.new(objname, curvedata)
    objectdata.location = (0,0,0) #object origin
    bpy.context.scene.objects.link(objectdata)

    polyline = curvedata.splines.new('NURBS')

    for i in range(len(cList)):
        # bpy.context.scene.frame_set(i+1)
        if i > 0:
            polyline.points.add(1)
        x, y, z = cList[i]
        polyline.points[i].co = (x, y, z, w)

makePolyLine("NameOfMyCurveObject", "NameOfMyCurve", ListOfVectors)