From your facts there is no hint that someone else actually opened your package, just that you never received it. I would say that at this point you need to work with the sender, to notify them that they sent it to the wrong address and have them try to retrieve it. At the same time, you should contact the person it was tracked to and try to retrieve it as well as post an insurance claim with the US Post Office (it was insured, wasn't it?). You should also fill out a change of address card with the post office to divert any other mail to that old address to your new address.
If the package never shows up, then you may have to call police, show them where it was tracked to, your proof of purchase, and ask them to try to retrieve your property. Good luck.