He doesn't want to win. If he did, he'd run for something he had a chance of winning.
If he won, he'd have to compromise just like all the other politicians if he wanted to accomplish something -- read history, even the Founding Fathers disagreed on some pretty important points and had to compromise with each other.
However, if Keyes compromised, after all his rhetoric, he'd be seen as "selling out" and "abandoning his principles" - so, he can't win, he can only criticize those who have won and who are doing something (just not as much as, or exactly what, he'd like them to do.)
He runs to get publicity so he can demand higher speaking fees, and so he can appear to be trying to change the system.