Using Query for Data Sequential

Hi,
   I am using this following query to make the data displayed as sequential order, but, while display out  from the reporting, it does not work. It still follow in ascending by alphabetical order (A-Z).  I am using this following query to apply into the SQL Visual Studio, but, the results show working as an order I have asking the command to follow; such as PAL, JST, STZ and etc.
ORDER BY (CAE PRODDTA.F55SWF.SWSRP1 WHEN 'PAL' THEN 1 WHEN 'JST' THEN 2 WHEN 'STZ' THEN 3 ELSE 4 END)

Can you please tell me what's wrong of the query command I am using that it  cannot  apply  at this SQL Server Business Intelligence application.

Your advisable is much appreciate
 
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