Post WWI - Late 19 teens, early 1920s judging by the styles worn by the ladies in the stands.
The gun (notice 2 machine guns on rear of the first flatcar) & loud speaker techology also look like WWI period.
A set for a Movie? Possibly, but not very likly. Motion picture film stock in the 1920s was still not very light sensetive, which means lots of key lighting, which this picture has the opposite of. Thus if it was for a movie the camera and equipment would have been located on the far side of the locomotive, and there's nothing there. Not even a shadow.
The framing of the shot is also rather advanced for films of the period.
My guess would be a 1918-1920 post WWI military parade with a temporary track laid to show the latest in military rail transport tecnology. (do take notice of the extra-heavy low center flats the big guns are carried on.)
The engine is fresh from the paint shop. On tender: "USA" "41 CA" , Engine #1 And it's johnson bar is in full forward.
There's a navy officer in the stands taking home movie footage.
The solider at the bottom left of the picture is a photographer--he's watching the camera not the parade.
There was a movitetone news-reel made of the show, the camera & opeator can be seen Left-Center between two roof posts of the stands. Wearing the typical movie-tone cameraman "uniform" of white shirt and light grey pants. Whoever took this picture, probably a military photographer, was rather careful to get the news-reel guy in the shot.
There is another train coming down the tracks.
There's also a group of Tanks & transport vehicles in the backgroud waiting. Once the train passes the tanks will probably preform manouvers for the spectators.
Possibly a military staff parked car top center, near the tanks.
The apparent short depth-of-field of the picture suggests the cameraman used a wide apature and really over exposed the image to draw more detail out of the shadows with all that damn back lighting. He did a good job developing the image.
Just my $0.02
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