  We study the dynamical behaviour of the interacting holographic dark energy
model whose interaction term is $Q=3H(\lam_d\rho_d + \lam_c\rho_c)$, where
$\rho_d$ and $\rho_c$ are the energy density of dark energy and CDM
respectively. To satisfy the observational constraints from SNIa, CMB shift
parameter and BAO measurement, if $\lam_c = \lam_d$ or $\lam_d, \lam_c >0$, the
cosmic evolution will only reach the attractor in the future and the ratio
$\rho_c/\rho_d$ cannot be slowly varying at present. Since the cosmic attractor
can be reached in the future even when the present values of the cosmological
parameters do not satisfy the observational constraints, the coincidence
problem is not really alleviated in this case. However, if $\lam_c \neq \lam_d$
and they are allowed to be negative, the ratio $\rho_c/\rho_d$ can be slowly
varying at present and the cosmic attractor can be reached near the present
epoch. Hence, the alleviation of the coincidence problem is attainable in this
case. The alleviation of coincidence problem in this case is still attainable
when confronting this model to SDSS data.
