What type of business entity would be the most tax efficient for forex trading?

A company would attract tax at 28% and if you make any dividend payout then a further 15% on those dividends. The highest tax rate for an individual trading as a sole prop would be 40%, but this is for taxable income/profit over R638 000 per year - so you would need to look at the profitability of the business before deciding.

Furthermore the administrative costs of running a company if it just you doing the trading can be a lot and take up quite a bit of unnecessary time.