This game has a hidden level select.
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Are you a bad enough dude to
A Sega CD version of Sol-Deace, but with an altered title for some reason. And this one saw a release outside of the US.
At the title screen, press A, B, C, A, B, C, B, C, B, A, Start and listen for a sound. The Options menu will now have a level select and "Mode" setting (keep pressing Right on this one until "MY99" appears for 99 lives).