I have a newly constructed front porch and back door steps made from pressure treated wood. I let the wood dry out for about 6 to 7 seven months before painting. I've heard that you need to wait from 2-4 weeks to as much as 6 months before painting pressure treated wood if it was not "kiln dried" (basically baked in a large oven at the mill). Apparently there are many opinions as to how long one must wait...
Due to the fact that the house has short overhangs the porch gets wet around the perimeter. Therefore I chose a grey oil based porch floor paint and white oil based trim paint from Home Depot and followed the directions on the can using an oil based primer first. I wanted the paint to repel water in order to (hopefully) extend the life of the wood further.
In the year since it has been applied I've had mixed results. The porch is in great shape and cleans up quickly with the hose and a mop when dirty and looks freshly painted all the time. The back door steps are exposed to constant sunlight, direct rain, and more traffic (plus a large dog) and shows signs of wear and even paint flaking off. On top of the extra wear, it appears that the back door steps have "cupped" some which adds to the poor durability of the paint.
If you want a "gloss" finish then go with the oil porch paint but be aware that it can be somewhat slippery when wet from rain. If you prefer a "flat" finish then I would probably recommend a solid color stain which is what I am currently applying to my deck. The solid color stains I'm using (again white and grey colors) absorb into the wood and can't flake or chip off. You just don't get a glossy appearance with them.