As Macy’s makes sure to point out in advertisements every year, the Macy’s Thanksgiving Parade is a time honored American tradition. But before the department store co-opted and commercialized the annual parade, New Yorkers were used to a different type of parade on Thanksgiving- The Ragamuffin Parade.
In a Ragamuffin parade, local youths dress up as ragamuffins, meaning they dress in oversized ratty clothes and dirty their faces. (Sometimes they would dress up in elaborate costumes instead.) They would then proceed to either march, parade style, through the town, or they would go door to door and beg for apples or other treats chanting “Anything for Thanksgiving?”
It’s possible that the actual Macy’s Thanksgiving Parade grew from one of these Ragamuffin Parades.
Some towns (like Hoboken New Jersey) still hold Ragamuffin Parades, but they’ve mostly been replaced by Halloween trick-or-treating and/or other parades. A Google search for Ragamuffin Parade returns over 25,000 results.
Source: History Channel, but you can read more here, here, and here, though the third link is mind-numbingly boring.

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Don’t watch the parade in HD. Just saying…you might see how those balloons really look.
Yeah, that whole HD thing can be a double-edged sword. Your local news people in HD is a little scary too.