It's one of the Philadelpia "Mummers." Don't ask me to splain it, it's a northern thing.
I posted a link a bit further down.
Thank Gawd, I don't live up that way then. ~shudder~
Don't know when it got to be the outrageous costumes and banjos thing, but 'mummers' have a long tradition. I listened to Thomas Hardy's "Return of the Native" on audiotape (it was a BORING read, but Alan Rickman made it interesting). In it, there is a group of 'Mummers' that travels the countryside entertaining the gentry.