We explore the end point of the helical instability in a finite density, finite magnetic field background discussed by Kharzeev and Yee. The nonlinear solution is obtained and identified with the (magnetized) chiral density wave phase in the literature. We find there are two branches of solutions, which match the two unstable modes found before. At large chemical potential and magnetic field, the magnetized chiral density wave can be thermodynamically preferred over the chirally symmetric phase and chiral symmetry breaking phase. Interestingly, we find an exotic state with vanishing chemical potential at large magnetic field. We also attempt to clarify the role of anomalous charge in the holographic model.