Humor Risk(1921)

Harpo played the hero, a detective named Watson who "made his entrance in a high hat, sliding down a coal chute into the basement". Groucho played an "old movie" villain, who "sported a long moustache and was clad in black", while Chico was probably his "chuckling [Italian] henchman". Zeppo portrayed a playboy who was the owner of a nightclub in which most of the action took place, including "a cabaret, [which allowed] the inclusion of a dance number". The final shot showed Groucho "in ball and chain, trudging slowly off into the gloaming". Harpo, in a rare moment of romantic glory, gets the girl in the end. This film is lost.

Official site