I see many references to Philadelphia-born comedian Jimmy (or Jimmie) Callahan (1891-1957) in vaudeville starting round 1910, although it can be little tough to sort out: pro baseball player and manager Jimmy “Nixey” Callahan (1874-1934) also trod the vaud stage in his off seasons, a topic for another time. In 1921 the Callahan in question managed to land several backers to bankroll him in producing his own starring comedies, which were made in an airplane hangar in Atlantic City.
Nearly a dozen (of 26 announced) were released through 1925: Jimmy’s Last Night Out, The Stowaway, Props, Wild Women, A Tough Night, On the Isle of Sap, The Poor Millionaire, A One Man Woman, The Huckleberry Gulch, A Wonderful Wallop, October Morn, A Lucky Dog, and His Future Father-in-Law.
Apparently no one went to see these movies (one of which, according to the Silent Comedy Mafia, is not very funny) and Callahan was sued by his investors for failing to live up to his promises, an ignominious fate for any comedian. He then ran for statewide office unsuccessfully and became a real estate developer in New Jersey. (A little) more on the obscure comedian may be found here, for the morbidly curious.
To learn more about vaudeville, please see No Applause, Just Throw Money: The Book That Made Vaudeville Famous, and for more on silent movie comedy, please read Chain of Fools: Silent Comedy and Its Legacies from Nickelodeons to Youtube.