Unless they are needed for an active order, I recommend keeping them in a safe wallet. Cold storage or Bitgo would be best.
Two good reasons:
1) They won't be stolen if you keep your private keys safe and unused.
2) Your BTC can be lent to others who sell them short. By keeping them on the exchange, you allow them to be sold short, possibly repeatedly. This will depress the price, hurting your investment. Get the coins off the exchange and they won't be used by the bears to drive price down. Get enough off the exchange and you will help squeeze the shorts, forcing them to buy.
They will also be bought back repeatedly, driving the price up. Shorting just moves the market more rapidly in the direction it's heading anyways, and adds volatility. When prices are rising because demand outweighs supply, the shorters get busted, and it doesn't matter how many coins are on the exchange because no one wants to borrow them.