The Pleasure Garden from 1925. His first film, Number 13 (not Number 17, which is a surviving film) from 1922, was never finished because the financier when bankrupt. The portions that had been shot were presumably melted down for the silver nitrate in the film, so hard up with the financier. His second film was a co-directing job on a short called Always Tell Your Wife from 1923. One reel of it exists; that's about half the film. No one's sure exactly what parts of the film Hitchcock directed though and it's never been released on DVD or anything. The Pleasure Garden in 1925 is his first completed film as sole director and the first film in his resume to actually still be available, though it is not exactly easy to get hold of.