Not that this is a totally conclusive way of testing, but I built one of these and they work. It's a very basic DMX tester. DO NOT use a dual-element LED, use 2 LED's, trust me, it works better(or rather: it works)
This is super basic. It will NOT do any diagnostics, but only show you that "hey, you got DMX here" and can act as a DMX terminator as well. It will not show if there are problems with the DMX signalling(like errors). All of us should have one of these.
Those who are really into this should get a real DMX tester, but those are expensive and not really practical for most of us.
DMX TesterSee if your SD console has a polarity reversing swithc. Make sure your lights are set to addresses you are expecting to use(even if you don't have a profile). Make sure your lights are in DMX mode. Make sure you are using DMX cabling and the cabling is good. Don't trust any pre-installed wiring right now, bypass everything you can and go as direct to the fixture as possible using known good DMX cable.
AlSO: use a DMX terminator. Easy to build as well. Most ADJ manuals for DMX fixtures shows how to make a DMX terminator. Super easy stuff. If you can build the tester, you can definately build the terminator as it is only 1 resistor over leads 2 and 3.