Rather than type a long answer - see the related link from Wikipedia for their entry on a gyro-compass.
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Elmer Ambrose Sperry was the inventor of the gyro compass and gyroscope.
They used a special load stone with natural magnet inside.
Though it would be much easier to use a modern-day compass, you could use an ancient Chinese compass if you have a working one. Most compasses from ancient China would have had to be well preserved to work. Maybe it does work, but it would probably be inaccurate because of it's age. If it is in complete working order (you could probably go to a well reviewed pawn shop to tell if it works or is accurate) then yes, you could still use it. Not many people do, though. You could buy some that supposedly work on E-Bay for $700. YIKES!
the magnetic compass was invented between 221-206 B.C . i hope my answer was useful and enjoy learning about the compass
William Austin Burt invented the Solar Compass