Also, I put the .gtf file in the customTransformations folder. It could not find either.
(I use ArcGIS Interoperability extension and the directory that I used is "C:\\Program Files (x86)\\Esri\\Data Interoperability (x86)\\reproject\\EsriPEGridData\\customTransformations" for .gtf
and C:\\Program Files (x86)\\Esri\\Data Interoperability (x86)\\reproject\\EsriPEGridData\\ntv2\\canada for.GSB)