The Protocol you should choose by default is UDP, this will give you the best performance. If you find you cannot connect via UDP then try TCP. If both TCP & UDP doesn't work then try connecting with Stealth Mode, you could be on a very strict network which is blocking OpenVPN connections.
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What is stealth mode and when do i use it?
Stealth Mode allows you to bypass firewall blocking of OpenVPN. Where they actively block VPN...