SRD-05VDC-SL-C 5V DC relay not working with XY-DJM-5V
The relay draws more current than that module can supply. If you keep doing such tests you may damage the receiver! 

If you read the SC2272-M4 datasheet, you'll see it can supply a maximum current of 3 mA. That relay needs 89 mA at a 55 ohms coil resistance. So the load current is 5 / 55 = 0.09 A = 90 mA. Now, the minimum hFE of the transistor should be (0.09 / 0.003) x 5 = 150. The resistor between receiver and transistor base should be 0.2 x 55 x 150 = 1650 ohms. Choose 1.8 k. Calculations made on http://pcbheaven.com/wikipages/Transistor_Circuits/

Due to the very low available current from receiver output pin, a high hFE transistor is required. 2N2222 should work (its maximum hFE is 300).

Use a (transistor) driver. Something like: