How to cross-compile a Python script into a Windows executable on Linux

Using Wine and Pyinstaller.

Pyinstaller is a program that packages Python programs into stand-alone executables, under the most used OSs (Windows, Linux, Mac OS X, FreeBSD, Solaris and AIX).
Initially Pyinstaller had a beta feature that allows the cross-compilation of a windows executable under Linux.
However, due the instability of the feature, it has been removed since version 1.5.