Take a look at the attached spreadsheet that someone on P123 posted about 1y ago. I have been keeping the list of factors up to date. I use it with API to generate a list of performance on buckets (20). Look at the Charts tab for an example of how the “winning” factors can be selected based on slope, weight, etc. Its a good start and has been working for me.
List Of Factors.xlsx (2.7 MB)