"What does our city think about film? Is it an industry? Or do we keep it because it is an art form that makes the façade of the city?" asks Cheung.
Cheung came out on top in the inaugural First Feature Film Initiative, a pilot scheme run by the government's creative industries office CreateHK and announced by Chief Executive Leung Chun-ying in his policy address last year.
Cheung's project OPUS 1, to be produced by award-winning filmmaker Derek Yee Tung-sing, was the winner in the professionals category and will receive HK$5 million sponsorship from the Film Development Fund. Two other projects will receive HK$2 million each after winning the higher education institutions category for students and recent graduates.
CreateHK said 24 projects applied to join the competition, of which 22 went forward to the competition: 14 in the professionals category; eight in the higher education group.
Though OPUS 1 will be Cheung's first feature, it won't be a complete departure from the factual work that has seen him honoured at the Hong Kong Film Awards and the Golden Horse awards.
It is based on the true story of a cold-blooded murder.
He completed the first draft of the script 10 years ago when he was studying film, philosophy and music at Brooklyn College at the City University of New York.
It was inspired by the murders of Stephen and Chilin Leung, immigrants from Hong Kong, who were killed by their 17-year-old daughter Connie and her boyfriend Eric Louissaint.
The young couple conspired to strangle the parents and dump their bodies in the East River after they disapproved of Connie's relationship with her African-American partner.
The case was big news in New York at the time, not just because of the brutal nature of the crime but also because of the racial issues involved. "The girl showed no remorse," Cheung says. "It also broke the stereotype of Chinese - you are supposed to be obedient. How could you murder your parents?
"But I don't believe there was no remorse. There must be some goodness inside her, even just a tiny bit."
Cheung used the case as inspiration for a script exploring human nature, but struggled to find the right partner to develop the film until he won the CreateHK award.
The victory comes after he was voted best new director in the Hong Kong awards and claimed three Golden Horses for KJ: Music and Life, his 2009 film which tracked the struggles of a local piano prodigy from the ages of 11 to 17.
Made with a budget of just HK$90,000, the film was shown at more than 100 special screenings in local cinemas, considered something of a miracle for an independent Hong Kong film.
But the awards and popularity for KJ weren't enough to change Cheung's perception of today's Hong Kong films.
Hollywood is the only film industry left, he says, and the heyday of Hong Kong's film industry is long gone.
Cheung, who grew up in Tsuen Wan district, recalls a past where large cinemas were everywhere, and going to the movies was part of people's lives.
"Shaw Brothers was so successful that if they made 40 films a year, all 40 films were profitable. When I was a child, there were five to six cinemas in Tsuen Wan, and each housed 1,000 seats," Cheung says.
The director says past decades were great times for Hong Kong cinema: there were the Shaw Brothers and Golden Harvest production houses in the 1960s and 1970s.
There was the New Wave in the 1980s. In the 1990s, Peter Chan Ho-sun co-founded the UFO (United Filmmakers Organisations), the city's biggest independent film production house. "But now, what do we have?"
Last year, just one local film was among the top 10 highest-grossing films at the local box office: the action thriller Cold War.
Two local films, Unbeatable and Journey to the West are in this year's top 10, according to the website Box Office Mojo.
From the government's point of view, film is a form of creative industry falling under the policy portfolio of the Commerce and Economic Development Bureau. But Cheung has a different take.
A music graduate at the Academy for Performing Arts, Cheung compares film with so-called high arts, like the orchestras in which he played as a cellist.
"Why does the government pay so much to support the orchestras and ballet?" he says.
"If we treat [film] as an industry, we shouldn't pay even a dime. Why don't we pay to support the textile industry? What is film? Is it an industry or culture?"
Despite the success of KJ and the fact his script, based on a murder case in Tin Shui Wai, was picked up by director Ann Hui On-wah and became her film Night & Fog, Cheung describes himself as a director operating outside the film industry.
He admits he has been offered opportunities to direct feature films, but they were not exactly what he wanted.
He has been in search of investors in OPUS 1 too, but nothing has worked out.
"I might have had to compromise a lot by exposing this story to a commercial environment," Cheung predicts.
Plot twists and dramatisation of the facts might have become inevitable in order to get a return for investors, he says.
But now, with HK$5 million of public funding to plough into the production, Cheung says he has less pressure and more creative freedom.
According to the government's schedule, filming will commence in spring and post-production should be completed in July.
In August, the government will invite local distributors to bid for the rights to the film for the first five years. The film is expected to be released in October.
The pressing task for Cheung now is to look for the perfect face to play the teen murderer.
An open casting is in place and Cheung doesn't mind if the winner is already a film star or not, as long as the face is right.
After all, he says, reality and fiction aren't too far apart from each other - especially in cinematic art.
"There isn't much difference going from documentary to feature films because both use the moving image to communicate," Cheung says. "Both need inspiration and passion."
Cheung King-wai
45
Academy for Performing Arts, Hong Kong; Brooklyn College, City University of New York
(2008), documentary
(2009), documentary
(2010), short film
(2012), documentary
Best new director, the 29th Hong Kong Film Awards, 2010
Best documentary for , 2009 Golden Horse Film Awards
This article appeared in the South China Morning Post print edition as: Fiction is the new reality for director