Well if I knew that I want to trade often then surely I will leave it on exchange to avoid transfer fee if the exchange is good. But if I knew that I don't want to trade soon then I will transfer it to any supported cold/hot wallet, leaving your crypto on exchange for a long time can be quite risky as exchanges are always prone to security issues. If you are doing day trade then it is better to leave on exchange to avoid transfer charges & it will save your time for transferring your crypto from wallet to exchanges vice versa.