Build stamina and muscle...

There's a reason professional athletes such as NFL players and mixed martial artists can compete for long periods of times without getting.

Despite burning all that energy, they tend to not lose significant muscle mass.
Thats because high intensity exercises done in short bursts cause your body to release anabolic hormones that help burn fat and build muscle, while still strengthening your heart and lungs.

One of the best sample activity to build your wind without losing muscle is sprinting.

A good way to ease your way into sprints is :
1 min. - walk
1 min - 5 mph
1 min - walk
1min - 5.5 mph
1 min - walk
1 min. - 6mph
1 - min - walk
1 min. - 6.5 mph
1 min. - walk
1 min. - 7 mph
3 mins walk.

If you have not recovered after 1 minute of walking, allow yourself more time to catch your breathe.

After a few workouts increase intensity (mph or incline) and/or number of sprints.
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Train smart. Train hard