Question about starting Nightmare Mode (999 Nights)

I'm nearing the completion of Challenge Mode and I've noticed that among its achievements there's one requiring to kill the Crimson Dragon two times. Which I guess it means that the transition to Nightmare Mode isn't automatic as it was with Story Mode > Challenge Mode.

So, how do you start Nightmare Mode?

I ask because I don't want to start it accidentally. I'd prefer to stay in Challenge Mode some more to farm, before starting Nightmare Mode.

Thanks!