It is possible to mix coins through exchange ?
If i deposit from my wallet BTC to the exchange and then withdraw them to another btc address, will my coins be tracked?
There is huge chance for you to clean your BTC through the strategy you posted but if you must do the process make sure the exchange is DEX, have good record, and you must also read their privacy policy to prevent future issue. However, I will advise you also make use a privacy wallet just in case there's a lagging which could expose your privacy.
Is there a risk of the DEX saving records in some way? How transparent are they in terms of order book? If the DEX is run through the Ethereum network, wouldn't that mean that it utilizes wrapped BTC and therefore everything can be traced?