I have a question regarding the exact interpretation of price variables C and O within PCF.  When the timeframe used with a PCF formula is less than one trading day (e.g. 5 minutes), there is no pause in trading between intervals.  For that reason, I would expect that the open of the current interval exactly equals the close of the prior interval (O=C1). In other words, both are the price at the same instant in time, that is, the price at the boundary between the current and prior interval.  However, in practice  the two values are not always the same.  What do the values represent?  Is C1 the last transaction in the prior interval, and O the first transaction in the current interval?  Or are they snapshots or averages over a certain (much shorter) interval?  Something else?

Thanks!

Thanks, Bruce.  The SGN-based formula almost matches WS 12 % K 3, but diverges a bit around certain changes in direction.  For example, look at $SPY on 8/18/2015 and 7/10/2015.  If anything, the PCF you provided seems a bit more sensitive to change.

Here is a PCF-based percentile ranking stochastic.  It does NOT reproduce the proprietary Worden Stochastics, but I like it better than the more orthodox stochastics:

(

(100*((-1)/11)*((c>=c11)+(c>=c10)+(c>=c9)+(c>=c8)+(c>=c7)+(c>=c6)+(c>=c5)+(c>=c4)+(c>=c3)+(c>=c2)+(c>=c1)))

+

(100*((-1)/11)*((c1>=c12)+(c1>=c11)+(c1>=c10)+(c1>=c9)+(c1>=c8)+(c1>=c7)+(c1>=c6)+(c1>=c5)+(c1>=c4)+(c1>=c3)+(c1>=c2)))

+

(100*((-1)/11)*((c2>=c12)+(c2>=c11)+(c2>=c10)+(c2>=c9)+(c2>=c8)+(c2>=c7)+(c2>=c6)+(c2>=c5)+(c2>=c4)+(c2>=c3)+(c2>=c13)))

)/3