To compile a new vim version, I recommend to download vim source on the official site http://www.vim.org/download.php.
If you want +python and +lua features, you have to install lua and python development files before compilation:
apt-get install liblua5.2-dev apt-get install python-dev
To activate clipboard feature you will need xorg development files:
apt-get install xorg-dev
After compilation you can verify the enabled features:
If everything went well, here you are with a new vim version. If you had issues, please share them, I’ll try to help you as much as I can