The Battletoads games are hard. So are the Double Dragon games. Mash them together for whatever reason, and you get a game that's also pretty tough.
But you have a secret weapon.
If you go to the Character Select screen
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Then press
B, A, Down, B, Up, Down
You'll hear a noise. Finish selecting your character by pressing Start and behold!
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The Super Warp Zone! Which also gives you five lives to play with.
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And you're going to need every one of them.