Can Cython compile to an EXE?

I have successfully used the Cython & gcc to convert the *.py file to *.exe, with below batch file:

# build.bat
set PROJECT_NAME=test
set PYTHON_DIR=C:\python27
%PYTHON_DIR%\python -m cython --embed -o %PROJECT_NAME%.c %PROJECT_NAME%.py
gcc -Os -I %PYTHON_DIR%\include -o %PROJECT_NAME%.exe %PROJECT_NAME%.c -lpython27 -lm -L %PYTHON_DIR%\libs

Aftershock's answer is good, what I want to say is about run app without console. Most like Aftershock's answer, if you want your application run without console, two points are important:

1. Replace all the main() function in the ".c" file made by cython --embed with wmain()

2. Add /subsystem:windows /entry:wmainCRTStartup to the end of cl.exe ... command

Here's the wiki page on embedding cython

Assuming you installed python to C:\Python31 and you want to use Microsoft Compiler.

smalltest1.py - is the file you want to compile.

test.exe - name of the executable.

You need to set the environmental variables for cl.

C:\Python31\python.exe C:\Python31\Scripts\cython.py smalltest1.py --embed

cl.exe  /nologo /Ox /MD /W3 /GS- /DNDEBUG -Ic:\Python31\include -Ic:\Python31\PC /Tcsmalltest1.c /link /OUT:"test.exe" /SUBSYSTEM:CONSOLE /MACHINE:X86 /LIBPATH:c:\Python31\libs /LIBPATH:c:\Python31\PCbuild

In principal it appears to be possible to do something like what you want, according to the Embedding Pyrex HOWTO. (Pyrex is effectively a previous generation of Cython.)

Hmm... that name suggests a better search than I first tried: "embedding cython" leads to this page which sounds like what you want.