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Alas you can't, you'll need to use an assembler and an emulator.  Everyone's different so choose your own setup, you can configure it yourself.  For example, WinApe is a CPC emulator that has its own assembler included and is an excellent way to test CPC games written with this tool - export a source file, import into WinApe's assembler, then run it

Update: Kees van Oss' build suites are included in the download so MPAGD should automatically fire up an emulator for you to test your game