Why do you believe in the religion you follow?

Nowhere in the bible does it say that you should be a catholic, or jehovah witness, or buddhist, or baptist, or lutheran, etc. The only religion I know of in the bible is Jesus' which was Judean, I believe, correct? And he was jewish. So, how did you come to the conclusion that your religion was the correct one when it doesn't mention it anywhere in the bible? If Jesus died a Judean jew, then don't you think that is what we are supposed to be practicing also? Or to just be a christian without a religion? What are your thoughts?