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Grid transformation not taken into account when using gdaltransform (3.10) in command line (anaconda)

I have installed GDAL-3.9.2-cp313-cp313-win_amd64.whl using Anaconda and I want to perform coordinate transformations with simple command lines using gdaltransform.

The issue I have is that the grid files needed for the transformation doesn't seem to be used.

Ex : I am trying to convert from WGS84 EPSG:4326 to WGS84 + EGM96 height EPSG:4326+5773

The command line I am using looks like this :

gdaltransform -s_srs EPSG:4326 -t_srs EPSG:4326+5773

If i look in the proj.db database I can located the expected grid file name WW15MGH.GRD. I have downloaded this file and installed it in multiple locations, but it never seems to be taken into account.

I have tried installing it in the same folder than the proj.db. I have tried setting up the environement variable PROJ_DATA and PROJ_LIB and put the grid file in this defined path. But it din't make it work.

I am out of ideas now.

Could you help me spot what I am doing wrong. Thanks ! Sylvain