DOC: Add protocol value '5' to pickle #37316
- [X] closes #37316

thanks @botplex  The issue is still there as visible here: [https://pandas.pydata.org/pandas-docs/stable/reference/api/pandas.DataFrame.to_pickle.html](url)
I should have changed the code in the branch named 1.1.x [https://github.com/pandas-dev/pandas/blob/v1.1.3/pandas/core/generic.py](url) instead of master
