You can trade as any one of the following:
If you are truly self-employed and are able to demonstrate that you're working patterns are 'outside IR35', by far the most tax efficient way of trading is through a PSC.
If you are operating within IR35, then you can either work PAYE at the agency or client, via an Umbrella Company or through your own PSC but using the 'deemed employment payment' calculation. Acting as a Sole Trader is the simplest business model and has very little legal formalities or constraints. The downside is that, unlike a limited company, you have unlimited liability for the debts of the business should it fail.