ArtMetal

the TYPE of SMAW electrode chosen has a lot to do with the penetration you achieve when stick welding.
Cellulosic electrodes (E6010 & E6011) penetrate much deeper than rutile electrodes (E7014) for example.
There are many variables that can affect the amount of penetration with all three of the welding processes mentioned in the original question.

Cellulosic Electrodes
"The coating of these electrodes contains organic materials that turn into gases
in the arc. About 30% of the coating weight is cellulose. In some countries,
paper pulp and wood powder are added to the coating in certain ratios to reduce
the amount of pure cellulose. These organic compounds in the coating decompose
in the arc to from carbon monoxide, carbon dioxide and hydrogen, which increase
the arc tension and thus, the welding arc becomes stronger and harder. Compared
with other types of electrodes, with the same current values, a 70% deeper
penetration is obtained with cellulosic electrodes."
http://www.arctech.com.tr/english/cellulosic_electrodes.htm