At age 71, I came across this expression for the first time in a slim monograph by Dorothy Parker called Men I'm Not Married to .

Google notes that Teddy Roosevelt was so described by John Hay, his secretary of state. And it lists elaborations like "more fun than: a goat-roping/ a goat in a sock/ a goat on ice."

But compared to the evocative original, they seem to explain too much--except maybe that goat in a sock.

Is this a well-known expression that I just missed, or did it disappear after a brief vogue in the 1910s?