The action begins somewhere in the South China Sea where one of the main characters is relaxing on her yacht, only to be interrupted by pirates who want to steal the boat. Something looked familiar about this particular section of the "South China Sea" and lo-and-behold, it was filmed slap bang in the middle of Tolo Harbour - a short stone's throw from my old stomping ground in Tai Po.
The same location was used for both the beginning and end segments of the film so I have included images from both. The top image shows the pirate boat approaching from the west. The distant hills are the coastline of Three Fathom's Cove and the small flat isle (approximately centre left on the sea line) is Tang Chau.
This second shot above shows the former island known as Pak Sha Tau. I say former because it now forms the southwestern point of the Plover Cove Reservoir and is joined to the mainland by the main dam wall (off screen on the left) and the smaller west facing dam off screen to the right. The shot below shows Robin Shou about to take a dive into the not-that-clean waters of Tolo Harbour with Pat Sin Leng's very distinct ridge line in the background.
Pat Sin Leng far left
The final two shots again show Pak Sha Tau in the background which puts the boat about halfway between the reservoir and Ma On Shan on the opposite coastline.