You're asking how to build a price model by linear regression, which is one thing and simple enough but I'll surmise what you really want to do, which is to make money and that's a whole different thing.

1) You've picked the wrong dependent variable, total returns are what you should be using, not price.

2) Your methodology is wrong, you shouldn't be looking at absolute returns of a security, but rather the deviation from its sector's returns.

3) Factor investing is a thing, and sometimes people do actually use linear models, but it sure looks like you picked the wrong "factors" here, or at least, I assume you picked them without a hypothesis first? That's generally a no-no when it comes to research.

So forget about your choice of model*, I don't think you have a sufficient understanding of fundamentally what a stock represents. Maybe figure that part out first.

Myself? I use Vanguard.

*(Although that's wrong too: linear regression over a binary encoded variable? Not the obvious choice..)