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If you want to write your own custom functions to use in or call from Qlik Sense, there are two different ways to approach this:
Option 1 allows running of external scripts while Qlik Sense loads data; however, this means that (1) this cannot be called from visualizations / expressions, and (2) requires changing security settings in Qlik Sense that pose a security risk.
Option 2 allows calling of external functions both within the data load script and within visualizations / expressions, and does not require changing default security settings. However, it is also the most-involved option as this requires writing custom code. Our Help Site and Qlik Community provide some basic introductions, there are several examples available on the qlik-oss GibHub repository, and the following Knowledge-base articles also contain basic tutorials on Server Side Extensions / Advanced Analytics Integration:
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