MacBook – How to connect to a VPN through a HTTP/HTTPS proxy

MacBook Pro (Retina, 15-inch, Mid 2015), OS X El Capitan (10.11.1)

I'm currently on a Macbook Pro mid 2015 with OS X 10.11.1 and I need help bypassing my university's proxy server. I believe they use squid/3.3.8.
Applications such as Battle.Net, Steam, Git, uTorrent and Slack are blocked and I need them. Skype & Appstore seem to work.

I have heard that in order to bypass the proxy I'll have to connect to a VPN, my colleagues managed to connect to a VPN but they're all on Windows.
I've tried several free VPN services and apps such as: OpenVPN, TunnelBlick, TunnelBear, CyberGhost and I couldn't connect to them, it always said that the server is unreachable or that the connection failed. I also tried to connect to a paid VPN using iSstp & L2TP over IPSec but again it didn't work.

I could connect to my paid VPN when I was at home and not on proxy. Also I tried to use software like ProxyCap and Proxifier but they didn't work.

I've managed to connect to the VPN using bootcamp and Windows but I don't want to waste space with Windows. There I used a software made by Hideman VPN which is also available on Mac but it doesn't work on Mac.

I want to know if there's any software that can help me to bypass the proxy. Thank you.