ANDY'S ANSWER: Anyone can be a bully and that includes adults. My advice would be to call a meeting with your parents and the parents of the other girls who feel that they are being bullied by this coach and tell them exactly what problems you all are having. You should go into this meeting with specific instances documented in writing and make sure that they are accurately depicted so that everyone agrees that that is how the situation really happened. After the group of parents have been able to discuss the situation with one another and with you girls, you can come up with a plan of action.
Together with your parents, you might decide it is your best interests to make a formal complaint to the head coach, or principal. Should you get no response from that, you might even want to take it further. The key would be to have the instances documented, to have others that back up your story, and have the group of parents and you girls all willing to stand together with your complaint. There is strength (and credibility) in numbers.