Yes its possible, but there should be a way to tell when to zigzag. I wouldn't recommend that it creates a new line when you change direction (even though its possible) because of usability issues.
In the following example, you can zigzag by right-clicking, without releasing the left button. Does this work for you?
https://www.dropbox.com/s/l1so4t4lkznup ... .capx?dl=0