Check the oil too - if the level's going up, then diesel's getting past the rings into the crank case - not ideal!
Can you roll it over compression easily? Can you hear hissing out of the intake or exhaust when you do so (the former would confirm poor compression, the latter would point towards the appropriate valve not seating correctly. No hissing could indicate stuck rings allowing compression to leak into the crank case.
No smoke could also indicate poor injection; if you remove the injector, and re-connect it to the high pressure line, do you get a fine mist when it injects, or a solid stream of fuel, or "blobby"/sputtering injection? (Be very careful not to have the tip of the injector near your person - it WILL inject diesel through skin, leading to all sorts of Bad Things happening...) You want to see a fine mist.
Something else to try, is to put your hand over the intake when cranking it. Can you feel suction on the intake stroke?
I'm pretty much out of ideas now