What kind of chlorine are you using to shock your pool? If it's Dichlor, then you are increasing your CYA level way too much. For every 10 ppm Free Chlorine (FC) added by Dichlor, it also increases CYA by 9 ppm. If it's Cal-Hypo, then for every 10 ppm FC, it also increases Calcium Hardness (CH) by 7 ppm.
With a very high CYA level, the added chlorine will not be very effective. You should dilute the water by partial drain/refill (multiple times) to lower the CYA level. You could use a copper-based algaecide to kill the algae, but then will risk staining your pool and you'll still have a high CYA level to deal with, so I would just bite the bullet and dilute the water.
Read the Pool School
to learn how to manage the pool without having the CYA climb so high and to prevent algae growth using chlorine (i.e. maintaining a sufficient FC relative to CYA).