It is never smart to leave you coins on an exchange, it is simply not nearly as safe as putting them in some wallet or keeping them in cold storage.

Where do you keep you coins safe?
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It all depends on the number of coins and the timing of investments. If you are an investor and get coins for them, it is definitely better to spread out their wallets and wait for the growth. I recommend these wallets as MEW, JAXX etc.
If you are a speculator playing the short (daily) positions, of course, it would be better to keep them straight on the exchange (I recommend Bittrex, Poloniex, Liqui).