Shimano QR skewers have steel teeth in the adjuster nut, which will dig into the dropout a bit and go a long way to preventing movement, if you put the nut on the disc side and the lever on the other side.
Allen key "QR"s grip tightest, but generally won't have any teeth, just being serrated aluminium, so there's not much in it.
Lightweight external cam QRs (with the lever centrally placed, rather than on the side like it is on an internal cam QR) often won't grip tightly enough to stop movement.