Install the packages for compiling
$ sudo apt-get install -y build-essential tk-dev libncurses5-dev libncursesw5-dev libreadline6-dev libdb5.3-dev libgdbm-dev libsqlite3-dev libssl-dev libbz2-dev libexpat1-dev liblzma-dev zlib1g-dev libffi-dev wget
Set the python version you want
$ version=3.8.5
Download
$ wget https://www.python.org/ftp/python/$version/Python-$version.tgz ~/
Extract the file
$ tar zxf ~/Python-$version.tgz
CD into the dir
$ cd ~/Python-$version
Configure
$ ./configure --enable-optimizations
Compile
$ make -j4
Install
$ sudo make altinstall
Clean up
$ sudo apt-get remove build-essential tk-dev libncurses5-dev libncursesw5-dev libreadline6-dev libdb5.3-dev libgdbm-dev libsqlite3-dev libssl-dev libbz2-dev libexpat1-dev liblzma-dev zlib1g-dev libffi-dev
Remove remenants
$ sudo rm -r ~/Python-$version.tgz ~/Python-$version