Hi all,I have found that portfolio rebalancing methods, etc. have large impact on Sharpe ratio. I did quite a few experiments. But I wish I could find good and practical books/literature talking about these things in real trading...Any pointers would be greatly appreciated!Thanks a lot!

seek for keywords like "dynamic portfolio optimization" "portfolio rebalancing" etc.

look at what fama and french did. There is a lot about adding certain factors to your portfolio that improve sharpe ratios. There are also papers on adding momentum as a factor to get a better sharpe. google away!

You need to take care about rebalancing: it is true it can increase the Sharpe ratio a lot, but the turnover is increased a lot too. Hence, you must compute the Sharpe ratio after transaction costs are considered.The following relevant papers contain some sections introducing this topic in practice:DeMiguel, V., L. Garlappi, and R. Uppal, 2009, "Optimal versus naive diversification: Howinecient is the 1/N portfolio strategy?," Review of Financial Studies, 22, 1915-1953.Brandt, M. W., P. Santa-Clara, R. Valkanov. Parametric portfolio policies: Exploiting characteristics in the cross section of equity returns. Review of Financial Studies, 2009.