I also had this problem. I always use separate addresses for airdrops because many are scams and I will just hold the coins and if I find them on the market I will sell them and get the bitcoin from the exchange.
You could transfer your bitcoin into another currency then back to a brand new wallet from the exchange or elsewhere. You can't trace it that way.
What about KYC on the exchange or markets?
For example, if police want to find you, they can send request to the exchange where you buy/sell bitcoins and receive all info about you.