There is a well known app for Windows named Connectify, used to share a Wi-Fi connection between a computer that only has Wi-Fi with other devices which requests that connection from the computer.
This would be useful for example to connect a Chromecast to a hotel's Wi-Fi that has one of those captive password situations through your laptop which has an interface to let you enter the password.
What's the best alternative for this app on OS X El Capitan?
Please provide the whole procedure.
This is not possible with OS X built-in Internet Sharing.