I don't see where you are calling the macro. Most of the file is the macro definition and then at the bottom you are starting to define the macro again, but there is no body to the new defintion or any %MEND statement to end the new definition.
You need to call the macro and not use another %MACRO statement to begin defining it again.
%WINSORIZE
(INSET=clean.main11
,OUTSET=clean.winsorized
,SORTVAR=none
,VARS=mdr bdr ebit_ta fa_ta
,PERC1=1
,TRIM=0
);
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