Fast and simple way to read long time series (raw sqlite v ORM)?

I started off using sqlite for reading and writing time series data. However read operation was taking too long, even after creating an index.

I therefore added a Peewee ORM on top (something I used in past for ensuring persistence in case of server reboot). The logic was that ORM would keep data in-memory, allowing quicker access than reading from DB on disk directly. However I timed the read duration and it seems identical.

Was my assumption that ORM would load everything in-memory on object creation incorrect? Is it then just nothing more than a fancy alternative to using the sqlite driver directly?