The literal translation of the title of this movie is: Colorful History the Movies.
Audience needs to know a little about the Chinese culture: in Chinese, the phrase "Colorful history" usually means the history of affairs, though not necessarily sexual, at least not explicitly sexual, at least for the 1920's and early 1930's.
This movie is a classic example in the early Chinese movie industry in that it is one of the few (Probably the only one) social satires made in the pre-revolutionary era China, and it targeted the Chinese movie itself, also a first of its kind in China.