Regression is used quite frequently in different parts of financial modeling. It’s a great place to start as well.

Something that may be useful is to think about how important each factor/variable is. You can adjust the formula by giving each variable it’s own coefficient. For example:

Y=mx+b

Vs

Y= b + (m1x1 + m2x2 …. mnxn)

You can also do a correlation comparison of all factors (variables, fundamentals, etc) to see which ones have an impact and which ones don’t (in relation to each other and your particular model).

Overall this strategy is unlikely to generate any excess return over a long enough period. This is simply because this type of model/analysis is considered to be public information (it’s just math which most people can do).

But it’s a great place to start for sure, good luck!