Ah, yes. Activity completion must first be enabled at the site level by an administrator. The setting is in Site Administration > Advanced Features and mark the Enable Completion Tracking checkbox. Once that's turned on, go to the settings for your course and ensure that completion tracking is enabled in the Student Progress section. Once completion tracking is enabled at the site level any new courses and activities will automatically have it turned on, but existing courses and activities will need to have the feature activated one by one.
Thanks Christian. I've emailed my administrator. Suddenly realised Completion Tracking wasn't enabled for activities either. Was sure I'd seen that it was, but that must have been a previous version of the site (we are quite new moodlers). Thanks very much for your help Jenny