I have been looking forward to this festival since April when I knew I was moving and found out this sheep invasion:
I was not able to find out a ton of details about the festival, but I will tell you what I have learned.
Trashumancia is a bi-annual event. Shepherds move their sheep from the North of Spain to the South of Spain in the winter, and then back up in the spring. Trashumancia is the act of moving/traveling with the sheep. This has been going on for hundreds of years. Historically the Cañadas or the trails they shepherds drive the sheep down went through the city of Madrid. Obviously in recent years, that has not been possible, due to the sheer size of the city (I think it is the 3rd largest in Europe). The Cañadas now circles west of the city.
This festival, I believe, either started as a protest against building on the trial, or it happens every year to help keep awareness about the importance of keeping the trial clear. It is a long migration, Madrid is the the center of the country, and going a long way around it could be harmful to the health of the stock.
This parade, which I think annually happens the last Sunday in October, just goes from Casa de Campo around to Plaza de Cibeles, and back again, while the real migration happens West of the city.
Next year we hope to catch more, there is a ceremonial "paying of the tariff" that happens further down Calle Mayor. Where a 15th century coin is handed over with ceremony, and missed the regional dances that happened after the parade.
The parade started out with these huge sheep dogs and a guy playing a Concha shell horn (far left). You can probably tell from the metro sign that we watched this in Puerta de Sol. (click to enlarge)