# How to conclude, regression results can't be improved anymore?

I am trying to forecast sector's 1 month forward return using macroeconomic variables (170 variables). I tried a few things:

For variable Selection

1. Run regression with each one of the independent variables and dependent variable separately. Then, using independent variables whose p-values are less than 0.05 to:
2. Run stepwise regression for variable selection
3. Finally, run elastic net with best variables (chosen using the above steps i.e., step 1 and step 2)

My observation:
Results (r2) for test set largely depends on how data is split (I don't know why) and even in the best split, r2 is very less (as per my client) in range of 0.12-0.20. How can I either improve this result or conclude that it can't be improved with linear regression? I have attached a couple of diagnostic plots for independent variables which have the lowest p-values