You can vertically hit platforms (tree branches for example, similar to Hudson Hawk), stopping you for 2 frames for each platform, each time you hit it's boundary. Therefore jumps need to be planned to avoid this.
You can let go of your B button (which speeds up the character and also used to shoot) on even frames for 1 frame without losing speed.
You start with 1 attack, you need to pickup the diamond power up to increase it (maximum of 3)
Post boss cutscene
Every boss fight ends with walking to the right side of the room (longer than 1 screen) with 2px / 2 frames (1px/f), therefore it's better to delay boss fight end while positioning yourself towards the... king?
Currently unuseful tricks
Bypass collision detection
If you are 3 frames away from a hit, you can disable collision detection as long as you are constantly changing between the 3 characters (select button) until you are out of the range of enemy hitboxes.
The side effect is 10 frames of movement sacrifice (7 of them is lag frame) / changing and your projectiles won't hit enemies during these rapid changes.
The only way to make this a time saver is using for skipping 1~2px distance.