No doubt that pyro is a fine developer, but it introduces as many problems as it solves. You don't need fancy developers to experiment with alt processes. I use Rodinal - and my prints are fine. And I did a workshop recently with someone who wanted to make a print from a Polaroid Type 55 negative. I've no idea what developer Polaroid used in these, but it didn't matter. We quite quickly made a beautiful platinum print using just the standard techniques. I'd strongly recommend staying with a simple developer and concentrating on learning the alt process. Later on you may feel the urge to try a pyro developer but at least by then you'll understand how the alt process deals with shadows and highlights, how much contrast control you've got, etc.
As Juan says, try some test negatives with different exposures and developing times, then print them. If your shadows are blocked up then you're either under-exposing the negative, or over-exposing the print. Inspecting the negative to see what shadow detail exists will tell you which one is in error; adjust your process accordingly. When you've got your shadows sorted out (i.e. you're film speed is correct for your developer and your base print exposure is correct for your process) then move on to the highlights - adjust your development time until you've got your highlights working (you may need to make very slight adjustments to exposure when you're doing this because longer development times expand the shadows slightly, although not by much). You're now exposing for the shadows and developing for the highlights! And your negatives are matched to your alt process.
A handy shortcut is, of course, finding someone who works with the process you want to try and ask them to show you - that'll save you lots of time and frustration. Presumably there are people in Denmark who can help you with this.