Preheat oven to 350 degrees F. Line 2 baking pans with silicone liners or spray the pans lightly with cooking spray. Set aside.
In a large bowl, combine the cake mix, eggs and oil with a spoon until a soft dough has formed. Drop rounded Tablespoonfuls of dough onto the baking sheets 1-2" apart from one another. Bake for approx. 8-10 minutes, rotating pans halfway through baking time. Cookies may appear soft and slightly undone; this is okay and do not overbake them. Allow the cookies to cool completely on the baking sheet.
Meanwhile, while cookies bake and cool, prepare your frosting. In a large heavy bottomed pot, combine the evaporated milk, sugar, egg yolks, cubed butter and vanilla over medium heat. Stir occasionally until butter has melted. Once the mixture is hot and bubbling, stir constantly for 12 minutes exactly. After 12 minutes, remove from heat and stir in the coconut and pecans. Set aside for about 5-10 minutes to thicken and set up.
Once frosting is cool to the touch, drop heaping Tablespoonfuls onto each cookie and spread out. Drizzle with melted candy melts or candy coating chocolate for a finished look.