This article addresses two issues. Firstly, the convergence property of conjugate gradient (CG) algorithm is investigated by a Chebyshev polynomial approximation. The analysis result shows that its convergence behaviour is affected by an acceleration term over the steepest descent (SD) algorithm. Secondly, a new CG algorithm is proposed in order to boost the tracking capability for time-varying parameters. The proposed algorithm based on re-initialising forgetting factor shows a fast tracking ability and a noise-immunity property when it encounters an unexpected parameter change. A fast tracking capability is verified through a computer simulation in a system identification problem.