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.
Good advice, if only more bitcoiners realized this. Drain the exchanges dry for all I care, the idiot day traders need to be squeezed. Also, it'll help call out those exchanges that refuse to be audited and are possibly running ponzis.