Robert Green says you can trade futures through a 401k under a C Corp. You can contact him for particulars.
What is the situation in Belgium? I heard UK property investors domiciled in Belgium as there was no capital gains tax.
I kind of like the Puerto Rico idea for US citizens. But instead of buying (why tie down trading capital?) just rent and spend the winter months there. Nov-Apr and you are done with the 6 months requirement. For 2-3K per month you can rent nice condos, houses. Just think of that instead of paying the fed taxman, you are taking a vacation.