For the BitMEX API all transactions are imported as profit (transaction type "Income") / loss (transaction type "Lost"). It is not possible to import single trades.
Additional manual entries of trades like they are found on the website can lead to duplicate transactions and wrong calculations.
You can find the profits of BitMEX trades in the "Income Report" of your tax report. The losses can be found in the "Lost and Stolen Report" as part of your tax report for the respective year.