what do you use wallet or exchange for? Do you want to trade or hold ?
If you hold on a mid term or trade, you should use exchange. And hold your coin for security, you should use hardware wallet.
If you regularly trade on the exchange, you definitely need to keep your coins on the stock exchange. If we are talking about investments for a long period, then of course coins should be stored in your wallet. So it will be more reliable.
I agree with you and it will make us easy to do something if the coin is in the exchange. we can directly sell or buy that coins without waiting too long. but maybe you can have two wallets for this which you can us to trade daily and to make an investment for your coins. I do this too and so far, I don't have to send the coin from my wallet to the exchanges because I have another amount in the exchanges. and it is better to keep bitcoin only in the wallet than to keep bitcoin in the exchanges.