Hi Leandro,
The pick moving is more about the position and angle you are striking the string(s) with. I hold my pick what I would consider medium-light tension in my fingertips.
Pay attention to wrist rotation, pick rotation in the fingers (in all dimensions), angle of the attack to the strings from arm moving, and depth of the pick when striking the strings. You can make small adjustments with these until you have a reasonably solid strum without the pick moving on you.
while you are figuring this out - and a lot of it is subconscious - you can use a more flexible pick. It gives you some room for mistakes and you will be able to practice all the things you need to do while you are figuring out the right movement and grip.
I struggled for weeks - probably 3-4 months, then it just worked one day and I have been able to use fairly rigid picks which are more difficult for strumming, but better for single-string picking. that will be a balance you will decide on as you progress.