In a nutshell:
Pirates come ashore, and capture the Governor and take over the island. Then, they have a parade and big party. Then, all week, they go from district to district, they have a Heritage Day in each different district, and you wear a pirates uniform. Then that night they have a street (or beach) party there too. Then the next day, it moves to another district.
Then the next weekend, the Caymanians finally repel the pirates, and and have another big party, then things get back to normal.