I have installed all necessary packages i think. I do not know what causes my problem that i cannot successfully compile latest stable python.
To my, and Python's README's, knowledge, this is not supported. Windows builds are officially made with the non-cross-platform MSVC compiler, so there's no point maintaining an additional toolchain support.
There was an unsuccessful attempt to add support for MinGW in https://bugs.python.org/issue3754.
Anaconda must be adding support privately in its python recipe by extensively patching Python's codebase.