So I was trying to estimate the performance of a static hedge vs dynamic hedge in the electricity market and I came up with some weird findings. When I used the minimum variance hedge approach using regressed returns of spot to futures I was receiving an R-Square of around 0.05 (Hedge effectiveness also in this case) and a Hedge Ratio of 0.46, which seems extremely low, but when I regress the prices of spot to futures (both via OLS) I receive an R-Square of around 0.75 and a Hedge Ratio of 0.96, which makes a lot more sense to me since spot and futures are more or less moving at the same pattern. But if I remember correctly f.e. Hull (2012) sais to regress the returns.
My second question would be if it is correct to when using a Rolling-Beta approach (Hedge-Ratio = Beta) to calculate the hedge effectiveness, to estimate the series of Betas and then multiply it with the vector of the Futures prices. To get the hedge effectivness now I would calculate the vector of spot price - the beta vector multiplied with the vector of futures prices? I wasn't sure if this procedure is correct.