Melt the bacon in a deep skillet over medium heat. Add the flour and stir constantly until the roux is caramel-colored. This will take 7 or 8 minutes, or possibly a bit longer. Don’t leave it, and take care not to scorch it. The best way to do this is to keep the roux moving, making sure you’re stirring to the bottom of the whole pan.
Turn the heat to low and add the vegetables to the hot roux, stirring well to make sure all vegetables are coated. Cook down, stirring occasionally for 10 to 15 minutes until the vegetables are very soft.
Add the tomato paste and continue to cook, stirring, for another couple of minutes. Add a little of the stock to the pan, scraping to get up anything stuck to the bottom. Add the rest of the stock, the tomato puree, garlic, bay leaf and chili powder. Add salt, pepper, and cayenne. Stir to completely combine everything. Cover and simmer on very low for half an hour or 45 minutes. Check seasoning. You want it highly seasoned. I usually add a little more black and cayenne pepper at least, but you should season to your taste.
This sauce benefits from sitting off the heat to mature for a half hour or so and reheating before serving. Divide into 2-cup portions. Freeze what you won’t use in the next couple of days.