I'd prefer to keep it in a cold storage. There's no debate about it. A cryptocurrency exchange is an exchange, a platform for those who are trading. So, if you aren't trading, you have no reason to keep your funds there.

The catch, however, is that a cold storage is only as safe as you make it. You are the sole owner, controller, and keeper. Such responsibility isn't light. One false move and it could cost you everything. So, it can't be overemphasized how important it is to know and understand the dos and don'ts of safekeeping your own coins. It's a must. It's a prerequisite to even owning Bitcoin.