Oh my it works! I understand my mistake now. We need lowcases too:
HTTP_PROXY=http://proxy_ip:proxy_port
HTTPS_PROXY=http://proxy_ip:proxy_port
http_proxy=http://proxy_ip:proxy_port
https_proxy=http://proxy_ip:proxy_port
NO_PROXY=localhost,127.0.0.1,::1
no_proxy=localhost,127.0.0.1,::1