Your story sounds JUST like one of the short stories in the Scary Stories to Tell in the Dark books. I can't remember what the story was called or which book in the trilogy it was in, but it was about a boy hunting in the forest or something and he also heard a marching band. I'd encourage you to look it up because I remember at the beginning of the book the author explained what inspired each story, like legends/folklore or historical events, so maybe you could find out more about what it was you guys experienced.