Sand will never wear out, it is the same today as the day it was put in your filter. With good pool care, you shouldn't need to replace it. In fact, sand filters work better as they trap particulates that "fill in" the spaces between grains, so they can filter smaller particles than fresh clean sand (unless you pump is too big, pushing everything through). That is probably why your sand was more compact as you dug deeper, which may be a good thing.
That being said, if you are having trouble with filtration and you don't kow where your sand came from, I would replace it. I have heard of putting gravel on the bottom, but I am not sure that would help. Sand would just work its way in between the rocks and around the laterals anyway. I think some manufacturers may say to do this, would check with your filter's manufacturer. Maybe someone else has more info on this.
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