You have a very interesting question which very few people thought about. The bottom line is where is your country of resident where you are supposed to be paying tax? I would suggest that you seek professional advise first, but this what I can share with you:
1. If you are a tax paying resident of USA, then I would suggest that you purchase the "Tax Guide for Traders" by Robert A. Green, who is a CPA. It is an excellent book with respect to the special treatment that traders can get on their taxes in the US.
2. In Switzerland there is NO tax for non-resident in Switzerland. However, you are advised to declare your FX gains in the country where you are tax resident. Thus if you are tax resident in the USA you should declare your FX income in your IRS tax returns. For Swiss residents, it get much more complicated, depending on where you live, if you have other job, if you are independent, or if you are retired. However, due to current Swiss privacy laws, which prohibits government from seeing your account (let alone your gains) it is up to you to declare what you earned. Please seek professional advice!
EVEN THOUGH IN SWITZERLAND TAX EVAISON IS NOT A CRIMINAL ACT, IT SHOULD BE IN MANY OTHER COUNTRIES!!! Thus all tax residents out side of Switzerland should declare their income to their respective tax authorities.
3. Luxembourg is the same as Switzerland.
4. France: you have to report and expect to pay taxes.
5. In the UK: The best solution is spread betting as it is tax free but up to 40% tax if done as normal spot forex. But losses and expenses are not tax deductible unless the IR (Inland Revenue) considers you a professional trader.
So if you are CFTC registered and has worked as a trader before, in a bank or investment fund, this is not for you as you will be paying standard income tax rate, which will vary depending on earnings. Once again, if you are a USA tax resident you are expected to declare all your earning to the IRS in the USA.
6. In Canada, you have to pay gains on forex profits just like earned income. But you can relinquish your citizenship for another country with more favorable taxes.
What is important is in which country you are a tax resident, not where you have your account or where the taxes are less. The best is to live and trade in a No Tax Zone. If you insist in living in a high tax country, then set up your company which will then pay you a salary to trade for your company's account. It will be cheaper in the long run.
My parting words are always learn, practice and discipline.
a. Always be keen and humble to learn. There is no end to learning.
b. Always practice whatever new things you learned in demo account. If you cannot survive and prosper in your demo account, you time of trading live has not come yet.
c. Always maintain trading discipline. This can only be cultivated in diligently practicing in your demo account. I had never appreciated this aspect until I kept busting many demo accounts.