creating link of a heading with underscore in md file

I am trying to create a link for heading (with underscore) in my markdown file. e.g.

# MY_MACRO_NAME

I have tried with following pattern but no success, any idea ?

[MY_MACRO_NAME](#MY_MACRO_NAME) [MY_MACRO_NAME](MY_MACRO_NAME) [MY_MACRO_NAME](#MY-MACRO-NAME) [MY_MACRO_NAME](#my_macro_name) [MY_MACRO_NAME](#my-macro-name) [MY_MACRO_NAME](#MYMACRONAME)