What to do about an ongoing research project that does not work?
If you are really doing research, then the results are not predictable. However, even when the research "fails" to reach some more or less expected end, you learn something. If all your research reaches the expected end, then you aren't doing research, but just confirming something already known, if only approximately. 

To say that some experiment fails to find significance is actually knowledge gained. The relationship between the pre-conditions and the result are, at best, weak. If nothing else, you learn that the methodology wasn't sufficient to establish a connection. But all of that is knowledge and it is worth the effort to obtain it. 

Moreover, along the way of doing such "failed" research, you may gain some insight into why the relationship is weak or non-existent. Even a failed proof in mathematics shows you something, even if it isn't as satisfying as providing an actual proof. Maybe the "theorem" isn't actually true in general. 

The other issue, of course, is changing topics. If your research shows you that a certain topic is unlikely to bear "satisfying" results, then it is certainly proper to request the opportunity of looking at something else. Do that. 

I worked in mathematics as a doctoral student on three problems. The first turned out to be so easy to advance that it lacked substance. The second turned out to be so hard to advance that nothing useful could be learned. Both of these were abandoned. Then I found just the right problem. Hard enough to have significance, but not so hard as to make advancement impossible. Luckily my advisor agreed with me on the abandonment of the earlier problems. But I had to ask and did so in a timely way. 



However, don't neglect to keep a "research notebook" in which you record both ideas and insights for research as well as the progress made on failed attempts. This notebook gives you some place to "mine" for ideas in your future when you are looking for something interesting to do.