In the absence of a remote proxy your ISP has visibility of
- all the dns records you attempt to lookup,
- your connections to remote sites and
- the data you exchange with those sites over non-encrypted channels.
Using a remote proxy (depending on how it is configured) addresses the first two of these. If you add an encrypted VPN link between you and the remote proxy then you resolve the last. Your ISP can only see data flowing between you and the proxy - not what it contains.
Note, setting up a server constantly exposed to the internet, with at least partially open ports is a different league in terms of security than connecting to the internet from home via an ISP (and probably a masquerading router).
However, all the above information is then exposed where the proxy is hosted - you've only shifted the visibility somewhere else.