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The engine needs to be warm, and the required input PSI (different for each gauge to some extent) needs to be met for the results to be meaningful - I'd be surprised if 15 PSI was enough, but being cold and dry was probably the reason it wouldn't hold pressure.
Here's a great Car Craft article on leak-down testing:
A cranking compression test is just another piece of the puzzle so I would do that as well as noted previously. I know this stuff takes time, but it's time well-spent and skills worth acquiring.