When exposed to high levels of strain, polymer optical fibre grating sensors recorded in poly(methyl methacrylate) based fibre often exhibit hysteresis in the response of their Bragg wavelength to strain. We demonstrate that the application of pre-tension and annealing of the polymer fibre can reduce this hysteresis when the fibre is suspended freely between two supports, but much better performance is obtained when the sensor is attached directly to a substrate. In this case, the hysteresis can be lessened by more than a factor of 12.