# How can I approximate the hedge ratio for Inter Commodity Treasury Spreads?

Looking at the excellent CME Treasury Analytics tool, I can see that the hedge ratio for spreads betweend diff treasury futures is derived from the DV01 of each leg.

I can get treasury futures data and test strategies, however I don't think is that easy to get historical DV01 in order to get the historical hedge ratio. Is it possible to approximate the Hedge Ratio using using the minimum variance approach?....what would be an appropriate rolling window for the calculation?

Thanks

DV01 is defined as $$\text{DV01} = -\frac{dP}{dy},$$ so technically you could run a regression of futures price changes vs (CTD) yield changes. The resulting DV01 is known as empirical DV01. In the context of trading bond futures, shorter-term horizons such as 3m and 6m are typically used. The chart below shows the actual TY/WN hedge ratio and an empirical version (using a rolling 3m window):