The database section of the configuration must be set before starting.
Depending of the database backend choosen, you must create a database (see the documentation of the choosen backend). The user running trytond must be granted the priviledge to create tables. For backend that has the option, the encoding of the database must be set to UTF-8.
A database can be initialized using this command line:
trytond-admin -c <config file> -d <database name> --all
At the end of the process, trytond-admin will ask to set the password for the admin user.