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Currently my bitcoin is store in Exchange. I wonder if I should simply generate bitcoin address and private key in BitAddress and send to this address and safely store the keys that was generated. But then how i could trade my bitcoin if they aren't on a Exchange?

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Use a Bitcoin wallet: https://bitcoiner.guide/wallet/

If interested to trade using a DEX so you always got the keys for your bitcoin: https://bisq.network/

For Ethereum related questions: https://ethereum.stackexchange.com

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Currently my bitcoin is store in Exchange.

Storing your coins on an exchange can be risky for a great number of reasons. There is a saying amongst bitcoiners: not your keys, not your coins.

I wonder if I should simply generate bitcoin address and private key in BitAddress and send to this address and safely store the keys that was generated.

It is generally a good idea to store your coins at an address that you alone control the keys for (your keys, your coins!). I wouldn't recommend using bitaddress though, or any other online wallet. This page is generally a good starting point for choosing a trustworthy wallet: https://bitcoin.org/en/choose-your-wallet

But then how i could trade my bitcoin if they aren't on a Exchange?

You send them back to the exchange, or even better, to a person that you are directly trading with. The wallet software you choose will have a 'send' page that you will enter the relevant info into, so that you can submit a transaction to the network. Once the transaction confirms (according to the exchange's policy), you should see your funds listed in your exchange account).

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