BMJ Group Medical Reference
Doctors sometimes use strong soundwaves to treat a painful shoulder.
Four good-quality studies (randomised controlled trials) looked at whether having shockwave therapy helps to reduce shoulder pain. These studies showed that if your shoulder pain is caused by a type of tendon problem called calcific tendonitis, having shockwave therapy may reduce your pain and help you move your shoulder more easily.     Calcific tendonitis is when you get calcium salt deposits in a tendon. This kind of shoulder pain mostly starts suddenly and usually affects women.
There isn't any evidence that having shockwave therapy can help if your shoulder pain is due to some other cause. 
Treatment with soundwaves can also cause a lot of pain.  You may also get other side effects, such as bleeding under the skin. 
randomised controlled trials
Randomised controlled trials are medical studies designed to test whether a treatment works. Patients are split into groups. One group is given the treatment being tested (for example, an antidepressant drug) while another group (called the comparison or control group) is given an alternative treatment. This could be a different type of drug or a dummy treatment (a placebo). Researchers then compare the effects of the different treatments.
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