I don't use only one exchange. Not all altcoins are found in one exchange so i have to have all the other exchanges where i can put my coins into. But if you mean btc, there are many things you have to consider to choose which exchange you will put it on. First thing first, which exchage has the lowest fees so that you can get the most out of your investment. Also, make sure its security is high to protect your funds from being hacked. Last thing is the trade volume. The more people trading in tgat exchange the more the movement of your coin.