In a medium bowl whisk together the soy sauce, vegetable oil, ketchup, vinegar, garlic, and pepper. Add the drained chestnuts and mix to coat. Cover and marinate in fridge at least 4 hours.
Preheat oven to 375. Line a jelly roll pan or 9x13 pan with foil or parchment paper and place a metal cooking rack on top or use a broiler pan so that the drippings can fall off.
Cut the bacon slices in half or in thirds, depending on how big the bacon is. Drain water chestnuts from marinade. Roll one water chestnut in a piece of bacon, secure w/ toothpick. Roll in brown sugar. Bake 30-40 minutes or until bacon is crisp. Don't worry if the fat and brown sugar that fall off smoke a little.
Notes
To prevent toothpicks from burning, soak them in water while the chestnuts are marinating.Source: from reader Jamie MacFarlane