That's between you and whoever wrote your show. If you had a custom arrangement done, or bought a show in a box from somewhere, most likely you have limited sync rights to make a video if you want. If your show is stock charts from a publisher, probably not.

That said, there are thousands of videos on YouTube of bands, playing marching shows and concert pieces. It's highly unlikely that anyone will send you a takedown notice or cause you problems.

Unless you used John Mackey's work without paying for the rights, he's legendary for going after bands for that when he sees the video.