You may have a defective thermocouple. You can test it if you have a DVOM (digital volt ohm meter) Set the selector to millivolts (mv) ad place the probes on the exterior grounding and the end of the part that screws into the valve body (please see picture).. If you place the bulb into a flame on your stove you should get about 15 -20 mv. If not the thermocouple is no good.
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Best regards, XXXXX XXXXX Smithy