[Mr 1936]

Hi Christoffrad. Ferrite rod aerials are used 99% of the time as a built-in aerial right next to the radio itself. I'm assuming that in your setup the rod is instead some distance from the radio it is feeding ? If this is the case, there is the risk that whatever cable you use to connect the two will also act as an aerial. This unwanted aerial will become more efficient as the frequency rises. A classic symptom that this is happening is the nulls in the rod's reception pattern becoming "filled in" and no longer as deep as they were. In days of yore this plagued designers of DF systems using loops, and was known as "Vertical Effect".
To solve this problem you can do one or more of the following:
Reduce the length of the interconnecting cable to reduce its pickup.
Increase the pickup of the rod, by using a longer rod or even a frame aerial.
Make the rod better electrically balanced: You will need a balanced to unbalanced conversion (BALUN) somewhere in the system. Only then will screening the interconnecting lead be an advantage.
One thing you could try for balance improvement is to make the tuned winding of the rod and its variable capacitor electrically floating, and try and minimise the length of wiring involved. Take the output to your preamp from the unbalanced coupling winding.
I'm sorry I can't be more specific, as there are so many variables involved. But I hope that understanding what is going on may help you arrive at a solution.