Originally this phrase was used to describe trying to do something absurd and impossible, which makes much more sense. Around the 1920s it evolved into meaning doing something by yourself, without help, but actually doing it, no matter how improbable it seemed.
That makes less sense, but perhaps it reflected the optimism of the age. In the 1920s it seemed like many Americans really were becoming millionaires overnight, without any help from rich uncles, and the impossible suddenly seemed possible — until the 1929 crash, anyway.
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