This is the proper way to factory reset your phone: turn it off, then press Volume Up + Volume Down + Power key until the menu with two options appears. Press the Volume Up to enter the recovery mode, then using the volume buttons, select Wipe data / Factory reset and confirm it with the Power button.
Afterwards, the phone will reset and begin the reset procedure that will wipe your data (applications, custom settings) and possible your images, videos and music.