I have used Python 3.6 (Anaconda to be exact) and written a script to build mingw-w64 cross toolchain.
It should work on Ubuntu 16.04 and Win10 WSL (Creators update)
If you have the spare machine power, you're welcome to test it, file bug report or refractor it.
Most of the logic follow zeranoe's script, except to avoid redundant building, multi-threaded download and remove multi-lib support.
The codes is now on GitHub:
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Stopping development until someone save me from poverty or get me out of Hong Kong...