When you see the Game Over screen, enter the following to continue at the last round you've played:
Effect Code Continue Up, Up, Down, Down, 2
Contributed By: BongoGoku.
Before you turn on the console, press and hold buttons 1 and 2. Then turn on the Master System and keep hold the buttons until appears the title screen. Let go of all buttons. Now press: diagonal top-left + button 1.
Contributed By: Dark Goku.
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