Preheat oven to 350°F. Line an 8 x 8-inch baking dish with parchment paper. Allow the parchment paper to extend over the sides of the baking dish to help lift the cookie out when it is done.
Melt butter and allow to cool to room temperature. When butter is cooled, add cake mix and egg. Mix until well incorporated. Press the mixture into the baking dish.
Sprinkle each of the chips and then the nuts over the base. Pour sweetened condensed milk over the nuts and sprinkle with shredded coconut. Adding the coconut last will allow it to toast while baking. Bake for 25-30 minutes, until coconut is toasted. Allow to cool completely before cutting into 16 pieces.