The Pickle protocol is basically the file format. From the documentation,
The higher the protocol used, the more recent the version of Python needed to read the pickle produced. … Pickle protocol version 4 was added in Python 3.4, your python version (2.7.5) does not support this.
Either upgrade to Python 3.4 or later (current is 3.5) or create the pickle using a lower protocol (2) in the third parameter to pickle.dump().