Basically with sphinx, wherever an entity is located, using .entity will be resolved when there is no ambiguity. This reference can be used in docstrings and anywhere in the docs.
Ambiguities can be resolved by adding context .Context.entity, like .Class.method for instance. We never need to figure out where the target is relatively to where the reference is created.

This is not possible with mkdocstrings. But you'll be able to see for yourself in the next days: I'm about to release every private feature to the public 🙂

That's too bad 😞 , but how impossible is it?

Oh it's definitely doable. You could open a feature request but I can't guarantee I'll be working on it since my priorities have shifted towards Zensical rather than MkDocs 🙂

OK so there is hope, I'll try to do it myself.

Congrats for this new promising project!
I'll keep an eye on it...