The most retentive type of amalgam pin is:
The most frequently used pin type is the small self-threading pin. Friction-locked and cemented pins, although still available, are rarely used. 
The diameter of the prepared pinhole is 0.0015 inch to 0.004 inch smaller than the diameter of the pin. The threads engage the dentin as it is inserted, retaining the pin. The elasticity (resiliency) of the dentin permits insertion of a threaded pin into a hole of smaller diameter.
Although the threads of self threading pins do not engage the dentin for their entire width, the self-threading pin is the most retentive of the three types of pins ,being three to six times more retentive than the cemented pin.
Reference: Sturdevant operative dentistry. 7th EDITION page no.269
Self threading pins
Cemented pins
Friction locked pins
All have same retentive capability