@ballscrewbob. Thank you for your quick answer.
Your link was not helpful for me. But I found a solution: Simple switch from "Sort by Last Modified" to "Sort by Name".
Sorry, I did not recognized that before. I will add now the date in format yyyymmdd at the beginning of the name of my sketches, than I have it in the order, I want to have it. (Sketches itself and files in the sketches)