I have never heard of any firm making consistent positive returns on foreign exchange markets, in fact, it is often cited as an example of an efficient market, because it is so unpredictable. Alan Greenspan's autobiography mentions a discussion he had while working at Goldman Sachs, where he asked them how GS was making a consistent profit on FX (because no one else seemed to be able to), and they responded that it was because they got a commission from making the trades on behalf of the customers, but GS never traded FX on its own accounts.