A novel fiber Bragg grating (FBG) has been inscribed in all solid Bragg fiber by an infrared femtosecond laser. Temperature, strain and bending characteristics of the induced FBG are investigated experimentally. Four resonant dips in the transmission spectrum show positive sensitivity for temperature/strain and zero-sensitivity for bending in wavelength. Cross-sensitivity between strain/temperature and bending can thus be avoided since the resonant wavelengths are insensitive to curvature variation when the fiber is bent toward two opposite directions. Evident wavelength hysteresis is observed during the isochronal annealing test and it can be eliminated by a pre-annealing treatment. These proposed FBGs are very attractive candidates for multi-parameter sensors in harsh environment.