I'm using my hamfest find, a rotor, to make the crossed parallel loop rotatable. I find that it is indeed directional.
On MW, I can get 20 to 25 dB nulls, sometimes 30 dB.
On HF, I can get 10 dB or so, on CHU and CFRX. I'll need to try some other stations. Tough to null the HF skywave when your loop elevation angle is fixed. I do have a linear actuator stashed in the basement, which in theory I could use to rotate the loop on that axis. I wonder how much more of a null that would give me (and how stable it would be as the ionosphere does its dance).