I tend to lose my pick when doing up-strums… And it’s starting to drive me crazy! I’ve followed Justin’s tips with using a very soft pick to start with and tried different ones. Generally I like picks with some texture - they give me the indication that they don’t want to get away from my fingers. Down strums are no problem (when doing Power Chords or such) - but the up strums…
When you are strumming do you adjust the angle of the pick? You ideally want it to be slanted in such a way that it can slide over the strings. If you get the angle wrong then the pick can more easily hook on a string. You’ll achieve this slanting with some rotation of the hand. Just a gentle relaxed rotation down for a down strum and up for an up strum, kind of like painting a wall.