I assumed that would be a continuous path moving from one point to the next (as you mentioned stitching) but it looks like they are actually just a bunch of squares and triangles, rotated around a common center. In which case…
- Draw a sqaure:
- Use a transform effect (Effect → Distort & Transform → Transform… ) with a rotation and a number of copies:
- Draw a triangle inside the “circle” of your transformed sqaures:
You want to rotate your triangles around the same center but the center of your triangle isn’t the same as the center of your squares so draw a circle with no stroke or fill and center it with the sqaures, then group it with your triangle.
Then apply a transform effect as you did with the sqaure: