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Backport PR #39376 on branch 1.2.x (REGR: write compressed pickle files with protocol=5) #39428

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Backport PR #39376: REGR: write compressed pickle files with protocol=5

@lumberbot-app lumberbot-app bot added this to the 1.2.2 milestone Jan 26, 2021
@jreback jreback added the IO Pickle read_pickle, to_pickle label Jan 26, 2021
@simonjayhawkins simonjayhawkins merged commit 06b4887 into pandas-dev:1.2.x Jan 27, 2021
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