Thank you, guys!
First: I connected in parallel with the led strip an incandescent light bulb, as you suggested, and the led didn't light on.
Second: @LarryD : I added a 10uF capacitor between 5v and GND in the circuit, do you thonk I have to add 3 100nF ceramic capacitor, 1 for each shift register?
Third: @LarryD : connecting the ground to the GND terminal of the relay module on the left is the same than connecting the GND to the power supply, don't you agree?
However: what could I do to avoid this behaviour? I choose these relay module 'cause of the speedy of changing on/off state. Christmas lights has to be fast, in several cases I had 0,1 secs interval time from on and off (or vice-versa) state. I have also modules based on Songle SRD-05VDC-SL-C relays, I don't know these can fit up my necessities.
Could someone help me again, please?
Thanks a lot,
Giuseppe