What was found
(CAN) ON DEPARTURE GOT YELLOW HEADING FLAG, WHICH WAS CLEARED, HAPPENED AGAIN AT TOC, CLEARED. IN CRUISE GOT RED HEADING ON NR 1 SYSTEM, SWITCHED TO HDG ALL ON NR 2 REVERSION PANEL. RETURNED TO YYC. MAINTENANCE REPLACED THE NR 1 DIRECTIONAL GYRO, TESTED THE SYSTEM SERVICABLE AND RETURNED THE AIRCRAFT TO SERVICE.