Look down the sight and see if the dot is moving while you turn the adjustment screws. All my reflex sights can move far beyond what I need them to in all directions.
Pick a line on a block wall, or a level piece of siding on your house. Look down the top of the barrel from the side so the level line rides on top the barrel front to back. Adjust the dot to sit on that same line as you bob your head back and forth from barrel to dot. This will get your elevation really close to zeroed.
Or better yet on the Stevens, break the action open and sight right down the barrel. Put the bead on the same mark as the barrel.