How to study the theory?

How to get the ideas, the arguments, the concepts, to form a view, to judge the argument, to discuss.
I know one thing for sure: I must go and must go strong.
Due to some facts in Reality, form a theory. Market timing based on the facts of market inefficiencies.

The theory base on which Reality?
All theories must get from Reality and to explain Reality. Theory is consequence of Reality.

The head must think from Reality. Do not think by itself.