You will need something from your Stock ROM first. Get them all and Try to modify it using the procedure.
Note: This guide will be helpful for you if you have older mediatek devices (android-5.1 or android-6.0), but up-to-date devices can also work.
Update: This guide had a few typos and derps (Oops..), but I've tried to make it free of those now (Dated November 18, 2020)
Bonus: You can also use this tool by @SebaUbuntu, @yshalsager and @mauronofrio to auto generate the twrp tree. The tool is best if your device runs on android-9.0. The tools is still not 100% compatible to all devices, but I'll still recommend it and give it 8.5/10 in the scale of varsatility.