Kenneth J. Alford was actually Frederick J. Ricketts (1881-1945), a British composer and bandmaster. Trained at Kneller Hall, he went at to become the Director of Music for the Royal Marines at Plymouth. In the intervening years, he wrote dozens of marches and other works that made their way into the standard repertoire of military bands. He wrote many of these works under the Alford pseudonym, perhaps due to British military rules that discouraged officers from assuming other professional obligations. See more about him at his Wikipedia article.

According to the Heritage Encyclopedia of Band Music (to which I have added links), Alford/Ricketts “wrote The Mad Major march in 1921 while he was bandmaster of the Second Battalion, Argyll and Sutherland Highlanders. The title refers to Major Graham Seton-Hutchinson, whose exploits with the Machine Gun Corps during World War 1 earned him the Distinguished Service Order and the Military Cross as well as the sobriquet ‘The Mad Major.'” While the falling chromatic figures at the outset suggest a circus march in the style of Henry Fillmore, this is in fact a stately British military march, meant to be taken at around 112 bpm. Here is Frederick Fennell performing it with the Eastman Wind Ensemble (with a curious title card):

The original edition of The Mad Major is available for free from the Band Music PDF Library, though the later Fennell edition is well worth the purchase if only for its full score. See more at the Wind Repertory Project and Hal Leonard.