I have installed all necessary packages i think. I do not know what causes my problem that i cannot successfully compile latest stable python.
./configure --host=i686-w64-mingw32 --build=x86_64-pc-linux-gnu
checking build system type... x86_64-pc-linux-gnu
checking host system type... i686-w64-mingw32
checking for python3.7... python3.7
checking for python interpreter for cross build... python3.7
checking for --enable-universalsdk... no
checking for --with-universal-archs... no
checking MACHDEP... configure: error: cross build not supported for i686-w64-mingw32
Edit:
There is also promising project for cmake.. → The question remains open. https://github.com/python-cmake-buildsystem/python-cmake-buildsystem