The clothing and hairstyles of Madge Evans and the rest of the female members of the cast, are all strictly in the 1933, not 1918 mode, despite the tremendous changes that had taken place in those 15 intervening years.
During the air raid, set in 1918, the cars being shown are definitely 1930s vehicles.
During the depth charge runs by the German destroyer, in multiple scenes, the wake of the camera-crew ship is clearly visible in the lower right corner.
As the picture begins, there is no indication that it is set in the past. A submarine blows up a ship, and there is a conference of worried officers. Only then is there a title reading "1918."