Sodium hydroxide works best. If you can't be bothered buying sodium hydroxide, most drain cleaners and oven cleaners contain sodium hydroxide. Be careful with this stuff. Rubber gloves and eye protection are essential. Noxious fumes are given off. Soak the parts in the solution for a few minutes, then run under water while brushing with a soft brush. Repeat until all of the anodise is off. If you leave it in far too long, it will start pitting the aluminium.
The next stage is desmutting with nitric acid. This removes the non-aluminium metals that are deposited on the surface from the alloy. This is optional and can be done by polishing instead.
Finally use metal polish to finish. Brasso works well. You shouldn't need to use sandpaper at all.