After reading How Transactions Between Shielded Addresses Work
It said
- She sends Note4Note4 to Bob privately.
I don’t know how does Zcash achieves this.
Storing on-chain in some encrypted manner or send to recipient in a private channel?
And how can I find some documents about the concretely Encryption algorithm or some details in confidential transaction used in Zcash
Hi @changtong1996 welcome to the forums! 
Yes, Zcash shielded (Z) transactions support encrypted memos which are only visible to the sender and recipient. Memos are encrypted on-chain. The are several cool applications like Zecpages and Zbay that take advantage of the encrypted memos.
The actual code is documented in the protocol spec, see section 5.5: zips/protocol.pdf at main · zcash/zips · GitHub
These are the sections of the protocol specification that define how notes are encrypted on-chain:
See the “defined/instantiated in” references in those sections for the places where the concrete algorithms are defined.