Cross-compile SDL2 from linux to Windows doesn't make an exe - c++

Question

I am using a WSL running Ubuntu and am trying to get an SDL2 program to compile using the Ubuntu and then run the program on Windows. I have been able to get it to build, however it doesn't make an exe (and changing the file extension to exe doesn't fix it). Also even though I set the CMAKE_CXX_FLAGS to have -o Crawl_The_Dungeon.exe the file still ends up being named all lower case like the project name. I was able to get this to compile and run on linux when I still had a linux machine.
I am still pretty new to CMake so I don't fully understand if I am close at all or not at all.
SET(CMAKE_SYSTEM_NAME Windows)
set(CMAKE_CXX_STANDARD 14) # Enable c++14 standard
set(CMAKE_MODULE_PATH ${CMAKE_MODULE_PATH} "${crawl_the_dungeon_SOURCE_DIR}/CMakePath")
set(TOOLCHAIN_PREFIX x86_64-w64-mingw32)
set(CMAKE_C_COMPILER ${TOOLCHAIN_PREFIX}-gcc)
set(CMAKE_CXX_COMPILER ${TOOLCHAIN_PREFIX}-g++)
set(CMAKE_FIND_ROOT_PATH /usr/${TOOLCHAIN_PREFIX})
set(CMAKE_FIND_ROOT_PATH_MODE_PROGRAM NEVER)
set(CMAKE_FIND_ROOT_PATH_MODE_LIBRARY ONLY)
set(CMAKE_FIND_ROOT_PATH_MODE_INCLUDE ONLY)
project(crawl_the_dungeon)
set(SOURCE_FILES final.cpp Soldier.cpp TilesEnum.cpp)
set(CMAKE_CXX_FLAGS "${CMAKE_CXX_FLAGS} --static -std=c++0x")
add_executable(${PROJECT_NAME} ${SOURCE_FILES})
find_package(SDL2 REQUIRED)
find_package(SDL2_image REQUIRED)
include_directories(${SDL2_INCLUDE_DIR}
${SDL2_IMAGE_INCLUDE_DIR}
${SDL2_TTF_INCLUDE_DIR})
target_link_libraries(crawl_the_dungeon ${SDL2_LIBRARY}
${SDL2_IMAGE_LIBRARIES}
${SDL2_TTF_LIBRARIES}
)
set(CMAKE_EXE_LINKER_FLAGS "-static-libgcc")
EDIT: I was dumb to include -o Crawl_The_Dungeon.exe as it now creates an exe. However it says that I can't run the program when opening it.