can you use raspberry pi as private proxy?

I have an unused raspberry pi laying arround at my home and I thought that I could use this to create my very own private proxy. however I am a noob when it comes to proxies and servers and stuff. setting it up will not be the issue. there are several guides out there which spoon feed me by explaining step by step what to do. but i dont know if it will fullfill its purpose of disguising my ip.
as I understood when I set up raspberry pi and send my traffic through it at the end it will be send to my rooter and the further but the ip gets set by the rooter right?

my pc -> raspberry pi -> router -> www

so is it not possible to use the raspberry pie like this? sorry for my bad english i hope you get my question/problem?

If you connect it to your router it will indeed use your own IP address and so it wouldn't give you what you want. If you would set up your raspberry at another location (with permission) it could be used as a private proxy.