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That's precisely why I created WinLua, it contains Lua, LuaRocks and the LLVM-Mingw compiler. The LLD linker has a gotcha (doesn't link to DLLs, only static or *.lib files), and I am currently working on the debugger machine interface. However, Lua, LuaRocks and the compiler all work well together. I have included GNU make as well as xmake (lua based build system) and regularly use it. Give it a spin and let me know what you think!