We consider the Banach space of all continuous functions on $X$ such that for each $f$ in the space, \begin{equation*} ||f||=\sup_{x\neq y}\frac{\left\vert f(x)-f(y)\right\vert }{\left\vert x-y\right\vert }. \end{equation*}
How I can prove that it is a Banach space?
In general it is kind of hard to guess whether a space is complete or not. Usually you may try to describe the property defining your norm/functions in geometric terms and try to see if you can construct a sequence of functions in your space so that their pointwise limit breaks the property defining your space. If you cannot find such thing, you could try proving that your space is complete and see what you get. If you find an obstruction in your proof, then you can try to see if that obstruction can help constructing a counterexample. It is a back and forth process, a lot of experimentation needed.
In this particular case, I would advice to try proving that the pointwise limit is in your space. Arzela-Ascoli's theorem might come in handy.