Physical activity is an important physiological information which should be taken into account by artificial pancreas to achieve optimal control of blood glucose in Type 1 Diabetes patients. An accurate glucose dynamic model with physical activity as an additional input is highly desirable for the next generation artificial pancreas. In this paper, we present a nonlinear data-driven model that captures both the insulin-independent and -dependent effect of physical activity, especially the prolonged effect of physical activity on insulin sensitivity that can last 24-48 hours post exercise. The model was identified and validated using data sets generated by a physiological glucoseexercise model under a clinical training protocol. Compared to modeling the effect of physical activity as a linear additive term only in a glucose dynamic equation, the proposed nonlinear model showed significant improvement of prediction accuracy in all three metrics, particularly in large prediction horizons (P < 0:05). Further investigation in time-series data indicates that the improvement mainly resulted from the better prediction of glucose around the first meal time after exercise (6 to 8 hours after the meal was taken).