I do something similar, related to the mythology and lore of my world. I use primarily Norse mythology as a starting point but also throw in some Celtic traditions. So a mix of Norse gods, the fey/Sidhe and just because there was still room in the blender stuff from the old demi-human deities (not that they matter for this).
So I base my end of the year holiday on The Wild Hunt. The hunt is usually led by Sidhe Master of the Hunt but once a year Odin takes the reins. But Odin is a tricky SOB and will often visit the unsuspecting in disguise demanding gifts. This spawned a tradition quite similar to Mummering. People go to the houses of friends and relatives asking for gifts, because who knows if the costumed people are Odin and the wild hunt in disguise?
So basically a big costume party, combination Christmas and Halloween.