Most of this is not Cloudflare-related. For example, if I set up a WordPress site on a server close to where I live, it’s about the same speed as it is through Cloudflare. Cloudflare can make it that fast for all visitors, regardless of where they live.
So…step 1 is to get your site optimized without Cloudflare. Once that’s done, Cloudflare’s CDN will help all users see that optimized performance.
Use WebPageTest.org to test it in Advanced Configuration mode from a location close to where it is hosted before you add it to Cloudflare, and save the link to the results for short-term reference if you have any more questions. Best to Google for “wordpress optimization” for more information.